I have a .exe and many plug-in .dll modules that the .exe loads. (I have source for both.) A cross-platform (with source) solution would be ideal, but the platform can be narrowed to WinXP and Visual Studio (7.1/2003 in my case).
The built-in VS leak detector only gives the line where new/malloc was called from, but I have a wrapper for allocations, so a full symbolic stack trace would be best.
The detector would also be able to detect for a leak in both the .exe and its accompanying plug-in .dll modules.
I personally use Visual Leak Detector, though it can cause large delays when large blocks are leaked (it displays the contents of the entire leaked block).
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: