molto piu convenientemente fai

codice:
SELECT * FROM users ORDER BY user_name
e poi, dopo che lanci la query

codice:
$previousUserNameFirstChar = false;
while($row = mysql_fetch_object($query))
{
    if ($previousUserNameFirstChar != $row->user_name{0})
    {
        $previousUserNameFirstChar = $row->user_name{0};
        
        echo 'Utenti che iniziano per ' . $perviousUserNameFirstChar . '
';
    }
    
    echo $row->user_name . '
';
}