Benoit, since no one answered your question, it can be difficult and time consuming. I really don't recommend wasting your time doing it unless you have a good idea of where you want to go and just need flight numbers. Besides the fact that the main airline that uses an amazing amount of direct flights is AA. If you go to aa.com and download the pdf version of their flight schedule, it will list destinations that are both nonstop and direct. For example, there is a flight that goes MIA-EZE-MVD. Under the Miami section, it will list both EZE and MVD. Conversely, under Montevideo, it lists both EZE and MIA.

For the other airlines, it's a bigger pain in the arse to figure out. Someone posted the africa flights a while back. If you have a question about a certain area, just post it here and I am sure someone can help.

For those who are picking a lot on people gaining miles just to gain miles, I generally agree with you. But there is a certain utility to knowing and using direct flights beyond earning miles.