There's no such thing as what you are asking, because COM objects are not one "thing" that you can download/find in one place.
A program, such as Nero for example might expose a COM interface, which you can then call because you have Nero installed. Same for iTunes, Adobe or any other program that supports a COM interface. The documentation for this interface will be found on their websites.
However, there are also a number of COM objects that are shipped automatically with certain versions of Windows. For those, as mentioned, MSDN is the place to be but you will need to use the library to look for the section on Scripting, and delve through that. You will also find the COM documentation for a lot of MS products that supports it, such as WMP, Word, Excel etc.
Another misconception is that COM as a whole only works on certain OS'es. It all depends on which COM object (and which version of the COM object). And it doesn't necessarily depend on the OS, it could depend on the version of IE that you have installed on your OS etc.
Basically, the world of COM is a jungle, and you are going to have to find your own way through it, just like everybody else did.
Btw, if you don't know VBScript/Jscript, then now is the right time to learn it, as a LOT of COM usage is shown in small scripts written in those languages. On MSDN, when there are examples, they will usually be in those two languages, so getting used to the syntax will help you tremendously.
