In order to sort the contacts alphabetically by their First name, you have to add the First Name field on the list view setup. Then click on Sort by drop-down and select the First name. It will set the Contact list view by the First name in ascending manner. If you want to set the First name list in descending manner then put a checkmark next to the box that says “Descending” mentioned in the video below:
Tip: You can click on the First Name column header in the list view and the records will be sorted by the First name.