The following code will cause memory leak in debug mode using visual 
studio 2008/2005
Comment out either MFC related (CString s) or Python related PY_XX. 
Then there will be no memory leak.

#include <python.h>
#include <afx.h>


int _tmain(int argc, _TCHAR* argv[])
{
	Py_Initialize();
	Py_Finalize();
	CString	s;
	return 0;
}

How do you know that there is a memory leak? 

I find it very unlikely that this interaction could cause a memory leak
(although it is plausible that in this case, not all memory is returned
to the system - which is something different from a memory leak).

- The "memory leaks" are reported in the IDE output window when the process exits; this lists all non deallocated blocks of memory.  This feature is not enabled by default.  Creating a CString probably initializes this feature.

- Py_Finalize() doesn't free all memory used by Py_Initialize(); this is not a problem, as long as a second call to Py_Initialize() reuses the same memory.

Closing as "won't fix": there is no need to free everything when the process exits.