Thanks. I used the memoryIgnoreLeaksBegin()/MemoryIgnoreLeaksEnd() end around the call to the function, and that worked great.
While I would love to use one without the memory leak, it is actually a standard dll that Microsoft created and can be used to play a .wav file. It was pointed out to them about the memory leak, but their response was it was designed that way.
And I don't currently have the knowledge on how to de-compile their dll and then recode it not to have the memory leak, no how to code the functions that their dll provides.
Again thank you. It works great now.
And for others this has a working example of using a dll on windows. I couldn't get the example provided by U++ for doing dll function calls to work. But this simple code works great.