However, when I click on a letter at the top of the page, nothing happens, it does not go to that letter in the list of albums
You can do it, but will require a little bit of work, and knowledge with understanding the database, skinning, and event structure. The way I do it in my ZoneSkins is to seperate all music into individual alpha/numerical directories in accordance to artist. Then in Xlobby I create from 15 to 28 databases....28 DATABASES? Yep, one for each letter of artist (a for AC/DC, b for Bon Jovi, etc), or I may combine letters together, one for combined numerical (54-40 or whatever from 0-9), then a database where all artist are defined. Then in setup (F2) in Events, I define events with the category>set database command to each database. Then in the skin editor (Pause/Break) I would assign each one of those button to their proper event.
If you download my ZS5 skin, or even ZoneSkin4, you can get a pretty good idea on how I do it.
Sorry no pics right now...this damn computer I'm typing on for some reason won't allow image upload via the Upload attachment feature.