If this is all on one ticket as it sounds like, you should only need to check in once and get three boarding passes. But you may need to check-in at the airport (rather than via internet) due to the multiple airlines.

You will need to clear both US and Canadian customs/immigration on the way into Montreal. Painful, but unavoidable. Leaving, you clear US customs in Montreal, so all of your US connections will be domestic. So you get to fly into a domestic gate, meaning any connections will be much shorter and you avoid any customs delays on your return home.

Hope you enjoy Montreal - heading to that city late next week myself.