Just a note about a non-Valgrind, windows-specific leak-checking method:
https://docs.microsoft.com/en-us/visualstudio/debugger/finding-memory-leaks-using-the-crt-library?view=vs-2019
It has been a while since I have done any extensive work on a Microsoft platform, but in my recollection crtdbg.h can do many helpful diagnostic things, although it is sometimes tricky to get all the debug build settings configured in the way that will trigger the features you seek.