I was looking into Valgrind to help improve my C coding/debugging when I discovered it is only for Linux - I have no other need or interest in moving my OS to Linux so I was wondering if there is a equally good program for Windows.
I had the chance to use Compuware DevPartner Studio in the past and that was really good, but it's quite expensive. A cheaper solution could be GlowCode, i just worked with a 5.x version and, despite some problems in attaching to a process i needed to debug, it worked quite well.
See the "Source Test Tools" link on the Software QA Testing and Test Tool Resources page for a list of similar tools.
I've used BoundsChecker,DevPartner Studio and Intel V-Tune in the past for profiling. I liked V-Tune the best; you could emulate various Intel chipsets and it would give you hints on how to optimize for that platform.
Perhaps CodeSnitch would be something you're after? http://www.entrek.com/codesnitch.html
I've been loving Memory Validator, from a company called Software Verification.
Development environment for Windows you are using may contain its own tools. Visual Studio, for example, lets you detect and isolate memory leaks in your programs
There is Pageheap.exe part of the debugging tools for Windows. It's free and is basically a custom memory allocator/deallocator.
If you are developing with Borland/CodeGear/Embarcadero C++ Builder, you could use CodeGuard.
For Visual C++, try Visual Leak Detector. When I used it, it detected a memory leak from a new
call and returned the actual line in source code of the leak. The latest release can be found at http://dmoulding.googlepages.com/vld.
Why not use Valgrind + Wine to debug your Windows app? See http://wiki.winehq.org/Wine_and_Valgrind
(Chromium uses this to check the Windows version for memory errors; see build.chromium.org and look at the experimental or memory waterfalls, and search for wine.)
There's also Dr. Memory, see dynamorio.org/drmemory.html
Does Jochen Kalmbach's Memory Leak Detector qualify?
PS: The URL to the latest version is buried somewhere in the article's comment thread.
LeakDiag, UMDH, App Verifier, DebugDiag, are all useful tools to improve robustness of code and find memory leaks.
If you're not afraid of mingw, here are some links (some might work with MSVC)... http://betterlogic.com/roger/?p=1140