The method that worked for me was to write custom memory manager that provides global operators "new" and "delete", and lock every freed/usued memory block with VirtualProtect. This way any attempt to use freed memory will immediately trigger access violation which you can catch and debug. However, to be able to do this, you must "grab" all available memory (or 3/4 of it) using something like VirtualAlloc and every memory block you return (from this initially allocated block) must be PAGE_SIZE aligned (see GetSystemInfo documentation), otherwise you won't be able to lock it reliably. Which means that even trivial application might require large amount of memory to use this method.
As for "valgrind alternative for windows" - I havent heard of it. Somebody somewhere posted that it might be possible to compile/use valgrind with cygwin, but I don't know if this is true or not.
