Is there any alternative available for checking memory leaks on Cygwin as it does not support Valgrind?
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I don't know much about Windows, but you can try this tool, it seems that it has porting the soft on Windows platform: http://code.google.com/p/drmemory/
Some documentation is available here:
http://www.burningcutlery.com/derek/docs/drmem-CGO11.pdf
Hope this help.
Regards.
Check for DUMA project http://duma.sourceforge.net/. It is a little different than you need, but hope you can find an answer there.
I have recently used CMemLeak to great success. It is very easy to use, you just have to include it in every header, and detects memory leaks, invalid writes and non heap frees. It does not detect invalid reads.