You can use only a part of a multi-stop flight provided that you checked in for your first flight segment. Otherwise, if you do not show up for one of your flight segments, the airline will be entitled to cancel all subsequent segments of your flight.
You can fly only the first leg of your route (e.g. on the Moscow-Rome-Milan flight you can choose to fly to Rome, provided that you notify the airline personnel at check-in beforehand). Sometimes it is cheaper this way. Or if you have Moscow-Milan and Milan-Moscow tickets, you can choose to take only the first Moscow-Milan flight. Round-trip flights are often cheaper than one-way flights.