A-Z Index

I used to use Joomla and I had this feature on there but I can’t figure out how to do it with WordPress. I’d like to have pages and then when you click on the page, have categories for that page underneath, but the theme I’m using (Mystique) will only let me display pages or categories.

So now what I’d like to do is have Pages but on one specific page I’d like to have an A-Z index. So there would be the pages along the top and you click on Movies and then that page would take you to the Movies page with an A-Z index underneath. You could then click on a letter and it would take you to a page with any movie that was tagged with that letter.

Make sense?