There isn't something like that built into concrete5 that can do that straight away, but it shouldn't be too difficult to achieve with a modest amount of customisation.

If I had to build that, I'd do it this way:

- Instead of spitting things up into pages, I'd probably just have one list that can be filtered with javascript. This jQuery plugin does just that:http://www.ihwy.com/Labs/jquery-listnav-plugin.aspx...

For a demo, check here:
http://www.ihwy.com/Labs/Demos/Current/jquery-listnav-plugin.aspx...
I'd download and link in that script.

- I'd add to a page a Page List block, configured to display all the pages I want to be in my list. Depending on your site structure, you might be able to use an auto-nav block and skip the next step.

- For the page list block I'd create a custom template that outputs the list of pages as an unordered list (as that is what the jQuery plugin expects).

- I'd then add a custom bit of javascript (in the header or an external file) to trigger the plugin, as per the instructions.

- Finally I'd add my css to style the list navigation, using the example given on the plugin's page as a starting point.

This all comes down to how comfortable you are with getting your hands dirty with scripts and template overrides, but the above is a pretty quick way to do.