With A-Z listings, can you have all the letters on one page, like this, or are you forced to have different pages for each letter?
No. The A-Z listing style only prints one letter per page.
You could achieve this, but it would be a nightmare with the current setup. This really needs some development work.
Yeah, as Greg said, its possible but annoying – the first thing that comes to mind is creating 26 asset listings, one for each letter, then nesting them all in a standard page.
Having said that, I wouldn't recommend this style of page as its incredibly large and very dial-up unfriendly. That page you link to is 120kb in size, which would take probably 30 - 45 seconds to load over dial-up. I always try to aim for page sizes of less than 50kb.