I had a need for knowing which Microsoft Management Console snap-in's are available. A little digging on the Internet gave me:
.msc files are associated with MMC, so you can just run them.
On my machine, WindowsXP SP2, the Component Services snap-in (comexp.msc) is located in c:\windows\system32\Com which means I can't just go to [Start][Run] and enter comexp.msc to start.
Updated 6/30/2006: As my friend Kishor correctly points out, it is possible to start the Component Services management console by running dcomcnfg.exe