For msvc/cmake I've added the leak detection from Dan Moulding:
http://dmoulding.googlepages.com/vld

It nicely integrates into Studio and gives in the debugger
the complete call stack to the allocation of the not freed
memory.

When using cmake it could be enabled with -Dvld=1.
MS's debugging tools must be installed
http://www.microsoft.com/whdc/devtools/debugging/default.mspx

Eventually you have to copy dbghelp.dll from your Visual Studio
Common7\IDE folder into the binary directory. At least here it
solves the problems.

'vld.ini' is part of lyx.proj where you can configure vld.
The  output is also written to memory_leak_report.txt

The docu for vld could be found in development/Win32/vld, or
http://www.codeproject.com/tools/visualleakdetector.asp

(All the leaks I've fixed with my last commits were found by this way)

Nice leak hunting
Peter

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