To get a list of student names to appear alphabetically, go to: Reporting > Reports> Students (blue tab) > Custom Report and click on Choose at the bottom of the page.
This will create a list of all of the students in your school.
To organise the names - if you want the names alphabetical by first name, just click in the title box for first name (just click the grey area), or if alphabetical by surname click in the title box for surname.