MSVC complains when exiting very simple CPropertySheet demo program

Hello, I wrote a very simple CPropertySheet demo program and when I run
it inside MSVC++ (using version 8.0 SP1) and exit the program by
pressing the OK button, MSVC++ complains about these things:
Warning: m_pMainWnd is NULL in CWinApp::Run - quitting application.
Detected memory leaks!
Dumping objects ->
f:\sp\vctools\vc7libs\ship\atlmfc\src\mfc\dlgprop.cpp(1129) : {81}
normal block at 0x003A7450, 104 bytes long.
  Data: <4 @ B > 34 00 00 00 81 00 00 00 00 00 40 00 98 C4 42 00
f:\sp\vctools\vc7libs\ship\atlmfc\src\mfc\array_p.cpp(110) : {80} normal
block at 0x003A7400, 20 bytes long.
  Data: <<q: q: > 3C 71 3A 00 C4 71 3A 00 CD CD CD CD CD CD CD CD
f:\sp\vctools\vc7libs\ship\atlmfc\src\mfc\dlgprop.cpp(81) : {78} normal
block at 0x003A7390, 52 bytes long.
  Data: <4 @ f > 34 00 00 00 80 00 00 00 00 00 40 00 66 00 00 00
f:\sp\vctools\vc7libs\ship\atlmfc\src\mfc\dlgprop.cpp(81) : {77} normal
block at 0x003A7320, 52 bytes long.
  Data: <4 @ e > 34 00 00 00 80 00 00 00 00 00 40 00 65 00 00 00
f:\sp\vctools\vc7libs\ship\atlmfc\src\mfc\strcore.cpp(141) : {75} normal
block at 0x003A3078, 21 bytes long.
  Data: <, ?x > 2C 08 3F 78 04 00 00 00 04 00 00 00 01 00 00 00
{74} client block at 0x003A7090, subtype c0, 444 bytes long.
a CPropertySheet object at $003A7090, 444 bytes long
Object dump complete.
The program '[4048] tab_dialog_box_(cpropertysheet).exe: Native' has
exited with code 0 (0x0).

The program compiles without any warnings (or errors, obviously). Now
when writing this post I notice that the paths in object dump doesn't
exist on my system.

The code is very simple indeed:

Application.h:
#ifndef APPLICATION_H
#define APPLICATION_H

#ifndef WINVER
#define WINVER 0x0501
#endif

#include <afxwin.h>

class Application : public CWinApp
{
public:
    ~Application()
    {
       delete m_pMainWnd;
    }

    BOOL InitInstance();
};

#endif

Application.cpp:
#include "Application.h" /* Gives us <afxwin.h> */
#include "TabDialog.h"

Application instance;

BOOL
Application::InitInstance()
{
    m_pMainWnd = new TabDialog();

    /* We have an additional linker option to silence a harmless
exception being thrown when DoModal() is called.
     * The linker option is: /SECTION:.rsrc,rw
     * See http://support.microsoft.com/kb/158552 for details.
     * Couldn't get the try/catch method they described to work. */
    dynamic_cast<TabDialog *>(m_pMainWnd)->DoModal();

    return TRUE;
}

TabDialog.h:
#ifndef TABDIALOG_H
#define TABDIALOG_H

#ifndef WINVER
#define WINVER 0x0501
#endif

#include <afxdlgs.h> /* CPropertySheet */

class TabDialog : public CPropertySheet
{
public:
    TabDialog();

private:
    CPropertyPage property_page_1_;
    CPropertyPage property_page_2_;
};

#endif

TabDialog.cpp:
#include "TabDialog.h" /* Gives us <afxdlgs.h> */
#include "resource.h"

TabDialog::TabDialog() : CPropertySheet("test")
{
    property_page_1_.Construct(ID_PAGE_1);
    property_page_2_.Construct(ID_PAGE_2);

    AddPage(&property_page_1_);
    AddPage(&property_page_2_);
}

When I run this program outside msvc++ I notice nothing strange. Anyone
have an idea what I've missed? I'd like to get rid of this error even if
it seems harmless.

- Eric