Version:            (using Devel)
OS:                Linux
Installed from:    Compiled sources

For Unix, memcheck provides a replacement heap implementation.  There is nothing
like this yet for win32 apps.  However, wine's kernel32 heap is close to being good 
enough; I have patches pending against wine to implement use-after-free and overrun
detection without any changes to valgrind at all 
(see http://wiki.winehq.org/Wine_and_Valgrind ).

Detecting new[]/delete mismatches is another matter.  
One could modify the app to use its own wrappers around those functions
that detected mismatch, but it would be nicer to not require any app modifications.

I've started looking at this.  So far, I've verified that I can intercept 
functions in msvcrt90.dll when valgrinding wine (small patch required; I'll attach).
I haven't verified yet that calling conventions are compatible.

What I'm thinking of at the moment is adding something
like this to coregrind/m_replacemalloc/vg_replace_malloc.c like this:

/* how big a preamble to use for each allocation */
#define MAGIC_ALLOCATOR_SIZE 8
/* value to store in preamble for each kind of allocation */
#define MAGIC_ALLOCATOR_MALLOC 'm'
#define MAGIC_ALLOCATOR_NEW 'n'
#define MAGIC_ALLOCATOR_NEW_VECTOR 'v'

void* VG_REPLACE_FUNCTION_ZU(VG_Z_MSVCR90,malloc) (SizeT n);
void* VG_REPLACE_FUNCTION_ZU(VG_Z_MSVCR90,malloc) (SizeT n) {
   if (!init_done) init();
   MALLOC_TRACE("windows malloc" "(%llu)", (ULong)n );

   char *ret = __target_kernel32_HeapAlloc(__target_kernel32_GetProcessHeap(),0, n+MAGIC_ALLOCATOR_SIZE);
   if (!ret)
       __target_msvcrt90__set_errno(MSVCRT_ENOMEM);
   else {
       /* Remember type of this allocation. */
       *ret = MAGIC_ALLOCATOR_MALLOC;
   }
   return ret + MAGIC_ALLOCATOR_SIZE;
}

/* Similar overrides for new and new[], using their visual c++ mangled names. *
/* Similar overrides for free, delete and delete[] which would
 * check the preamble and throw an error if mismatch detected.
 */
/* All of above defined for visual c++ 6, 2003 (7), 2005 (8) and 2008 (9). */

but I have not yet figured out how to call
functions in the target app from within an interceptor.
Presumably we can look up the function addresses and cache them?