The key reference material for the Microsoft Debugging Tools for Windows is the online help, accessible from the WinDbg Help menu. See in particular the following:
The Microsoft web site contains a great deal of useful information about debugging Windows programs. Search on "Debugging Tools for Windows."
You may also wish to investigate commercially-available tools, such as Purify and BoundsChecker. For more information on these tools, Google on "Rational Purify" and " DevPartner Studio". For more on heap debugging in general, Google on "heap debugging".