But now I have a list with artists and a list with letters. Is it possible to have shown the artists when you click on a letter?.
It would probably require extensive programming to achieve that, since OCD doesn't automatically provide it as an option.
How about skipping the list with letters?

Another question. The cd's from one artist are not alphabetic (don't know really how to say it in english). What do you have to do to have them as a,b,c etc.
You have to set the desired sort order when you 'Export to HTML...'.

Try setting:
'Sort field 1' = ArtistSort
'Sort field 2' = Title
'Sort field 3' = Year

That should give you an alphabetical listing of albums for each separate artist. Note however that words like 'The' and 'A' are ignored by the sort engine. So 'A Hard Day's Night' will appear right before 'Help', and not immediately after 'Abbey Road'.

You may change this by editing the list of 'Ignored words'. Select View from the OCD menu, and then Preferences. Now select the Database tab, and click on the 'Ignore Words...' button.