How can I download an off-line installation of MSDN documentation of Visual Studio 2010 Express for Win32 and COM development, so that I don't have to download it again while installing on other computers?
The MSDN Library for Visual Studio 2008 SP1 may help.
For Visual Studio 2010, you can also just click on Start Menu\Programs\Microsoft Visual Studio 2010\Visual Studio Tools\Manage Help Settings
and then ask it to make help content available offline.