I know of no plugin that does this. However, some custom coding displaying every letter regardless of having posts or not: http://wordpress.pastebin.com/f524c9f4 Version that only displays letter heading when one or more posts fall under it: http://wordpress.pastebin.com/f2302b7cb Or try this:
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Custom Post Type Archives & URLs
Templates and Heirarchy http://codex.wordpress.org/Template_Hierarchy Default WP archives for Custom Post Types Here’s one little gem for accessing default genearted archives if you are using WordPress 3.1 or higher: This should query for “all custom posts about the theme named taco”. Plugin: Custom Post Type Archives Enables pretty permalink custom post type archives that will support Full Article…