One starts at McGill metro station (or the Bay store) on an east-west axis and run though Place de la Cathedrale, Eaton Center, Royal Trust Place, Simpson's (only open during shopping hours) and finally the Cours Mont-Royal (renovated old hotel).
The second set of tunnels is between Windsor train station (the building that looks like a castle), Central station, Place Bonaventure (shopping and exhibition halls, Bonenvature metro station), 1001 de la Gauchetiere (there's a year-round indoor ice rink) and Place Ville-Marie (cross shaped building with a sweeping light on top that you can see for miles at night). The Place Ville-Marie has recently been connected by a tunnel with the Eaton Center (if you go from the Eaton center, the entrance is at the restaurant level (basement)).
The third set of tunnels is between Place des Arts (Place des arts metro station) and Complexe Desjardins, Complexe Guy-Favreau (chinatown), Palais des Congres (Place d'Armes metro station) and old Montreal (it's on a north-south axis).
Most tunnels have small shops and restaurants and are usually well marked so you can find your way easily (but not always). The tunnels are also marked on the transit map available at metro stations.
There are six hotels connected to these tunnels as are many shopping malls, office towers, movie theaters, restaurants, etc..
Note that the access is sometimes limited to store opening hours (Eaton's, Simpson's) or limited to subway opening hours. (see end of the list for those hours).