There are several good memory profiler applications / addins available. But
frankly, the best thing to do is carefully review your code and only use a
programming pattern that insures your connections are indeed closed even if
an exception is thrown, e.g. the using ( xxx) {   ... } construct along with
try / catch / finally, with the connection being closed in the finally code
block.
-- Peter
Site: http://www.eggheadcafe.com
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Get yourself a good profiler and it will explain to you the consumption of
your memory in terms of actual usage, objects created, etc. Try RedGate
ANTS (red-gate.com) or JetBrains dotTrace (jetbrains.com)