I am adding alphabetical page to the view using glossary mode. I am able to create the alpha pager but the issue is, when I click on the alphabet the alpha pager doesn't appear again. I have to go back to view the alpha pager.
From what I remember, you have to create the Glossary display of the view, and then you set the results page as an Attachment of that view display (attachment being the view display type).
Views ships with a default Glossary view, it's just disabled. I would suggest enabling that and take a look to see how that does it.
I found the solution to this problem. This link explains how to resolve this issue http://drupal.org/node/349739