I want to create a page with a list of all the albums with alphabetical headings like this example http://www.zomganime.com/anime-series-list/ I also want it in 2 columns

You can use MySQL queries to list all albums available or use the print_album_menu plugin as a starting point. You surely will need to modify it.

Can u Please Give the Complete Code how to Display The content as per the site Mentioned http://www.zomganime.com/anime-series-list/

Sorry, no.