There are lots of method to allocate memory in Windows environment, such as VirtualAlloc, HeapAlloc, malloc, new.
In outline:
VirtualAlloc, HeapAlloc etc. are Windows APIs that allocate memory of various types from the OS directly. VirtualAlloc manages pages in the Windows virtual memory system, while HeapAlloc allocates from a specific OS heap. Frankly, you are unlikely to ever need to use eiither of them.
malloc is a Standard C (and C++) library function that allocates memory to your process. Implementations of malloc will typically use one of the OS APIs to create a pool of memory when your app starts and then allocate from it as you make malloc requests
new is a Standard C++ operator which allocates memory and then calls constructors appropriately on that memory. It may be implemented in terms of malloc or in terms of the OS APIs, in which case it too will typically create a memory pool on application startup.