Filter Gridview Based on Unordered List Click

This should be fairly straight forward, although I'm having difficulty finding an example via google.

I would like to filter a gridview's data by clicking on a unordered list link. (Similar to some phone directories I've seen.)

The unordered list would contain links for each letter of the alphabet and by clicking on the "A" link would show only those items that begin with A. Clicking on "B" would only show items that begin with B. etc...

Hope this makes sense, and thanks in advance...