John --
For a list of names only, you will have to select the unit from the link below. The unit name should be 1st Battalion (McNair's) State Troops, Mississippi Cavalry, which will appear first in the list when you select 'Mississippi', 'Cavalry' and '1'. A. E. McClellan was Captain of Company "E" from Rankin County.
http://www.itd.nps.gov/cwss/regiments.cfm
A history of McNair's Cavalry Battalion, such as it is, can be found here --
http://mississippiscv.org/MS_Units/MS_ST_TROOPS_CAV.htm