Unfortunatly there is nothing already buildt for this. To build your own you will have to create your own PagerTemplate.
There is something similiar with code in it in this tutorial. This tutorial migh help you well to achieve what you require. I would have done it differently with PagerTemplate instead of GridView Footer as show.
So basically to create the paging bar it would have give :
<asp:UpdatePanel runat="server" ID="UpdatePanel">
<asp:GridView runat="server" ID="GridView">
<PagerTemplate>
<asp:LinkButton runat="server" Text="A" Command="A" />
-
<asp:LinkButton runat="server" Text="B" Command="B" />
-
<asp:LinkButton runat="server" Text="C" Command="C" />
-
<asp:LinkButton runat="server" Text="D" Command="D" />
-
<asp:LinkButton runat="server" Text="E" Command="E" />
<%-- Continue at will... --%>
</PagerTemplate>
</asp:GridView>
</asp:UpdatePanel>
Then you catch in the code behind the command and re create a new Datasource with only the data for the letter you need. You have to understand that GridView is bind to a Datasource that can't be manipulated. So when you initially show it, the datasource provider will only send the data with letter A. When you will click F then you will request you data provider to retreive only the information with Letter F and reassign the data to gridview : GridView.Datasource = mynewdata
Hope this helps