As jakobengblom2 pointed out, valgrind has a suit of tools. Depending which one you are talking about there are different windows counter parts. I will only mention OSS or free tools here.
1. MemCheck:
Dr. Memory. It is a relatively new tool, works very well on Windows 7. My favorite feature is that it groups the same leaks' allocation stacks in the report.
http://code.google.com/p/drmemory/
I have also used UMDH( http://support.microsoft.com/kb/268343 ) and found it quiet useful and easy to setup. It works from Win2000 to Win7.
AppVerifier is a must have swissknife for windows native code developers, its "memory" checker does similar job http://msdn.microsoft.com/en-us/library/dd371695%28v=vs.85%29.aspx
2. Callgrind:
My favorite is verysleepy ( http://www.codersnotes.com/sleepy ) It is tiny but very useful and easy to use.
If you need more features, AMD CodeAnalyst™ Performance Analyzer is free: http://developer.amd.com/documentation/videos/pages/introductiontoamdcodeanalystperformanceanalyzer.aspx
Windows Performance Analysis tools is free from Microsoft, not very easy to use but can get the job done if you are willing to spend the time. http://blogs.microsoft.co.il/blogs/sasha/archive/2008/03/15/xperf-windows-performance-toolkit.aspx Download: http://msdn.microsoft.com/en-us/performance/cc752957
3. Massif:
Similar(not quite exact match) free tools on windows are:
VMMap from sysinternals : http://technet.microsoft.com/en-us/sysinternals/dd535533
!heap command in windbg : http://hacksoflife.blogspot.com/2009/06/heap-debugging-memoryresource-leak-with.html
4. Cachegrind:
Above mentioned Windows Performance Tools has certain level of L2 cache miss profiling capability but not quite as good and easy to use as Cachegrind.
5. DRD:
Haven't found anything free and as powerful on Windows yet, the only free tool for windows I can find that is slightly close is the "lock" checker in AppVerifier: http://msdn.microsoft.com/en-us/library/dd371695%28v=vs.85%29.aspx