I have searched all over and I'm having trouble with the Views 3 UI. I can't find where to turn on the glossary mode in the view settings for an attachment. I apologize if this is a dumb question, but I see it in the screen shot for the answer to this question: Drupal 7 Views Contextual Filters
So it must exist?! I'm using Views 7.x-3.0-rc1
There are 2 view displays you need to create to make this work.
In the settings for the field, make sure to select the 'more' option and set the argument to behave in glossary mode. I believe you also need to set the default value to 'all' or 'a' or any other letter.
If you created all your fields in the page, this version should have all of them.
Override the contextual argument you selected for the page. Change this to display in summary mode. You will get different options depending on how you want to display your glossary. The Glossary mode should already be enabled. Assign the attachment to the page in the Attachment settings Turn off the inheriting of contextual filters (i.e. arguments) within the attachment display. The best tip I received for learning how to set this up was from merlinofchaos who said to enable the Glossary view in the list of views. He said to clone it and make your changes. This gave me a thorough understanding of how it works.