Microsoft just recently brought their symbol server up live on the Internet.

This means that, if you have a reasonably decent Internet connection from your debugger system, you won't have to download and setup the o/s symbols (though this is still an option, of course).

You do this by setting up an intermediate "downstream store" for the symbols, backed-up with Microsoft's symbol server. The symbols are downloaded as needed from the Microsoft symbol server, and cached in the downstream symbol store.

You then add SRV*downstream store*http://msdl.microsoft.com/download/symbols
to your symbol path...

Check out:

http://www.microsoft.com/ddk/debugging/symbols.asp