Creating shortcut links on MyCloud for video sorting

 Can you explain a little what you mean by media server?

Read Section 12 of the User Manual.  Then read this FAQ thread:

http://community.wd.com/t5/WD-My-Cloud/FAQ-How-do-I-make-the-Twonky-DLNA-Media-Server-work-properly/m-p/858813

Google is quite helpful, too, as is Wikipedia.

Once you have activated the Twonky media server, you can access your media via local UPnP/DLNA media client apps; these can be found for most platforms such as iThings (MediaConnect has been suggested here, and XBMC is available for jail broken iThings), and your smart TV probably has a media client.

The Twonky DLNA media server presents list of files in a number of ways, one of which is by Title.  In this mode, it groups media into ABC, DEF, etc.  Exactly like you are requesting.

For remote viewing of movies (and I would only use the MyCloud app for remote access), you will need a good broadband uplink rate, so ADSL via a phone line is unlikely to be good enough; you’ll need cable or fibre.