I use an ActiveX control which is just a HTTP handler. It sends out an HTTP request, gets the response and fires an event to the user. When the user is not requesting the ActiveX control is pretty much dormant. It just waits for a user request to send another HTTP request.
As long as the window in which the OCX resides does not change (losing focus, getting focus, etc) the memory stays calm. For each of the above said operations I lose approx 400 bytes.
Where should I look for a possible leak?