First try at code-golfing.
#Java - 151 128 77 62 bytes
void f(int n){int i=0;for(;++i<=n;System.out.print((char)i));}
Usage:
import java.util.Scanner;
class A {
public static void main(String[] a) {
int num = new Scanner(System.in).nextInt();
f(num);
}
void f(int n) {
int i = 0;
for (; ++i <= n; System.out.print((char) i));
}
}
Thanks to Shujal, flawr and Ingo Bürk for the serious byte reduction.