The nature of comprehensive exams differs from school to school. Some require a paper to be written, others have a multiple choice written exam, and some even require both. What specifically you will need to know will depend highly on your school, and I would suggest speaking to your professors and other students who have written it before to get a good idea of what to expect.
That said, the common theme of comprehensive exams is a strong grasp of the major concepts. It would be unrealistic to expect you to know every detail of everything that Durkheim has ever said and written. What is realistic is to expect you to know and be able to explain the concepts and applications of the major themes of Durkheim's work.
The overarching theme of his work was discussing how a society would be able to maintain its integrity and coherence in the post-medieval world. In medieval times, tradition and religion was quite respected and ingrained. Society was structured around assumed ideals related to religious doctrine and tradition. In the post-medieval world however, this kind of social cohesion wasn't as prevalent. People were free to structure their own lives how they saw fit, rather than conforming to the religious and social ideas of the monarch. This is a good foundation from which to begin to interpret his work.