Visual studio often downloads symbols library (new project, most recompile etc), is there a way to download all of them in one shot and let it learn to look at the right place 
?
You can setup a local symbol server. It can sometimes be a tricky process, but this should get you started:
http://msdn.microsoft.com/en-us/library/b8ttk8zy(v=vs.90).aspx
thanks ! I’ll check this today