Layout Problem

This is because the plugin is allowing for multiple columns to exist. It would look really odd if a short list had titles taking two columns of width when the list directly below it has titles that are one column of width because the list spans multiple columns.

You can remove the columnar layout by copying the file at wp-content/plugins/a-z-listing/templates/a-z-listing.example.php into your theme and renaming it to a-z-listing.php. This will allow the titles more room, but it will also mean that large lists will not use multiple columns to reduce the amount of space they use.

in which folder do I have to paste the copied file?

It should go into your theme, which will be something like wp-content/themes/<your-theme-name>

the method above does not work correctly.

Then I try to copy file

wp-content/plugins/a-z-listing/templates/a-z-listing.php
not 

wp-content/plugins/a-z-listing/templates/a-z-listing.example.php

then paste it into the theme, and finally it works correctly

I just wanted to say thanks Daniel–your method worked perfectly for my site at least!