CFtpConnection GetFile cause memory leaking. Why?

I'm trying to use CFtpConnection GetFile to download files from a
WS_FTP server. I found if I download 1000 files (Size from 17KB to
25KB ), it can cause about 10M memory leaking. When I commented out
the GetFile( ) line, there was no memorry leaking. WHY?

 Following is part of my source code:

try
            {
                // Request a connection to Image Server
                //Use default FTP Port
                //Use Passive MODE
                pConnect =
sess.GetFtpConnection(strISIP,strFtpUser,strFtpPwd,INTERNET_INVALID_PORT_NUMBER,TRUE);

                //Change FTP folder
                pConnect->SetCurrentDirectory(_T("/Transfer"));

                // use a file find object to enumerate files
                CFtpFileFind finder(pConnect);

                // start looping
                BOOL bFoundFile = finder.FindFile(_T("*.pgp"));

                while ((bFoundFile==TRUE)&&(nMaxImages<MAX_IMAGE_NUM))
                {
                    bFoundFile = finder.FindNextFile();
                    strRemoteName=finder.GetFileName();
                    strLocalName=strLocalPath+strRemoteName;

                    // BOOL bFailIfExists = FALSE,
                    //DWORD dwAttributes = FILE_ATTRIBUTE_NORMAL,
                    // DWORD dwFlags = FTP_TRANSFER_TYPE_BINARY,
                    // DWORD_PTR dwContext = 1

                    bGetFile=pConnect-

1);

                    If get File Remove the file;
                    if(bGetFile==TRUE)
                    {
                        pConnect->Remove(strRemoteName);

                    }

                    nMaxImages++;

                }
            }
            catch (CInternetException* pEx)
            {
                TCHAR sz[1024];
                pEx->GetErrorMessage(sz, 1024);
                pEx->Delete();
             }

            // if the connection is open, close it
            if (pConnect != NULL)
            {
                pConnect->Close();
                delete pConnect;
            }