Tess Ferrandez's blog has some great information on debugging memory leaks using Windbg.

By taking a dump of the running application and then analysing it in Windbg, you should be able to find the source of the leaks you are seeing.

The following entries are probably a good starting point:

1. Setup (including links to configuring Windbg
2. Memory Leak Lab 1
3. Memory Leak Lab 2

Good luck!