If you used the 'Message board' web part, you can view each document that has comments by:
Go to the 'Tools' tab and click the 'Message boards' link. In the main window, click the 'Boards' tab, and you can see each document that has comments against it.
By default I think that you have to click the document link and view the actual comments on the document.
But if you want something more custom, you can alter the
CMS desk UI and functionality to do pretty much anything you want.
Cheers,
Lance