You can check your program using command:

valgrind your_program

Example of usage:
We have following C++ program (tst.cpp):

int main() {
	int * tab = new int[1000000];
	return 0;
}

Obviously it generates memory leak. We compile it to tst file and execute:

valgrind tst

==20777== Memcheck, a memory error detector.
==20777== Copyright (C) 2002-2008, and GNU GPL'd, by Julian Seward et al.
==20777== Using LibVEX rev 1884, a library for dynamic binary translation.
==20777== Copyright (C) 2004-2008, and GNU GPL'd, by OpenWorks LLP.
==20777== Using valgrind-3.4.1-Debian, a dynamic binary instrumentation framework.
==20777== Copyright (C) 2000-2008, and GNU GPL'd, by Julian Seward et al.
==20777== For more details, rerun with: -v
==20777==
==20777==
==20777== ERROR SUMMARY: 0 errors from 0 contexts (suppressed: 17 from 1)
==20777== malloc/free: in use at exit: 4,000,000 bytes in 1 blocks.
==20777== malloc/free: 1 allocs, 0 frees, 4,000,000 bytes allocated.
==20777== For counts of detected errors, rerun with: -v
==20777== searching for pointers to 1 not-freed blocks.
==20777== checked 93,180 bytes.
==20777==
==20777== LEAK SUMMARY:
==20777==    definitely lost: 0 bytes in 0 blocks.
==20777==      possibly lost: 4,000,000 bytes in 1 blocks.
==20777==    still reachable: 0 bytes in 0 blocks.
==20777==         suppressed: 0 bytes in 0 blocks.
==20777== Rerun with --leak-check=full to see details of leaked memory.