Scott Hanselman posted here on how to enable support for Microsoft's Symbol Server to get the operating system's symbol files as they are needed. Let me say that the symbols server rocks. It's an incredibily useful feature you ought yourself to check out seriously.

One of the really cool things about it is that it will go ahead and pick the right version of the symbols for the environment you're debugging, down to the right service pack/hotfix, which means you don't need to concern yourself with keeping symbols up-to-date as you patch your environment or apply service packs.