How can I set the album names alphabetically

Is your shuffle the current 4th gen (or 3rd gen) model? If so, you need to create a playlist (in iTunes) and sync it to the shuffle. This playlist is just a regular playlist that you set up in iTunes, with the songs you want on the shuffle; the shuffle does not need to be connected when you do this part. It can be sorted alphabetically by album name (or in any desired way). If you are new to iTunes and need help with playlists, please post back.

After you have the playlist set up, select the shuffle in iTunes so that you see its settings screen in the iTunes window. To the left, in the sidebar, under Settings, click Music. To the right, you see the shuffle's Music settings screen.

NOTE: Any songs on the shuffle that are not in your iTunes library (on the computer) will be lost. If all songs are in your iTunes library, no problem.

At the top, checkmark the box for Sync music. Below that, select the option to sync Selected playlists, artists, albums, and genres. Below that, look under Playlists to find that playlist with your songs for shuffle, and checkmark it. At the bottom, click Apply to sync that playlist to the shuffle. Going forward, you can just update that playlist in iTunes (add and remove songs). The shuffle does not need to be connected. The next time you connect the shuffle (or click Sync if already connected), iTunes automatically updates the shuffle with the same changes.

When using the shuffle, use the VoiceOver feature to select that playlist from the Playlist Menu. This document explains how to enable and use VoiceOver.

iPod shuffle (4th generation): Enabling and using VoiceOver - Apple Support

If your shuffle is older 1st or 2nd gen model, please post back.