If you don't want to recompile (as Visual Leak Detector requires) I would recommend WinDbg, which is both powerful and fast (though it's not as easy to use as one could desire).
On the other hand, if you don't want to mess with WinDbg, you can take a look at UMDH, which is also developed by Microsoft and it's easier to learn.
Take a look at these links in order to learn more about WinDbg, memory leaks and memory management in general: