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I am building source on Windows using Cygwin, I need to find places with memory leaks and possible memory leaks. I know about Valgrind used for memory leak detection in Linux.
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Valgrind heavy relies on Linux internals, that's why Valgrind does not support Windows.
To run Valgrind, pass the executable as an argument (along with any parameters to the program). The flags are, in short: --leak-check=full : "each individual leak will be shown in detail" --show-leak-kinds=all : Show all of "definite, indirect, possible, reachable" leak kinds in the "full" report.
Valgrind reports two types of issues: memory errors and memory leaks. When a program dynamically allocates memory and forgets to later free it, it creates a leak. A memory leak generally won't cause a program to misbehave, crash, or give wrong answers, and is not an urgent situation.
Yes, there are false positives with Valgrind, that's why it has suppression files for particular glibc and gcc versions, for example. The false positives may arise if you are using older valgrind with newer gcc and glibc, i.e., valgrind 3.3 with glibc 2.9.
No it's not supported.
Also, an obvious link: http://www.google.com/search?q=cygwin+valgrind
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