while-loop inside thread causes memory leak?

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MFC

multi-threading

Hello everyone,

I'm trying to write my first multithreaded program.
I have a thread that looks like this:

UINT TestThread(LPVOID lpData)
{
    while(true){
        // stuff to do (will be serial communication)
        Sleep(500);
    }
    return 0;
}

Which I call from main like this:

AfxBeginThread(TestThread,NULL,THREAD_PRIORITY_NORMAL);

Problem: I get a memory leak during debugging:

Detected memory leaks!
Dumping objects ->
f:\dd\vctools\vc7libs\ship\atlmfc\src\mfc\thrdcore.cpp(306) : {108} client block at 0x0039C728, subtype c0, 68 bytes long.
a CWinThread object at $0039C728, 68 bytes long

First time I'm dealing with memory leaks so I googled and found a way to try to "locate" the leak (well ... not much to locate with about 5 lines of code)
following the instructions on http://www.codeguru.com/forum/showthread.php?t=499952[^], using a breakpoint and {,,msvcr90d.dll}_crtBreakAlloc and it points me to the AfxBeginThread Line as source of the problem.

If I don't put a while loop in there, it works fine.
I feel like maybe I misunderstood the concept of how threading is supposed to work :)
Because if I'm conceptually not allowed to put the "while" there, the threading concept kind of looses it's use ... for what I'm trying to do, at least.

Thanks a lot for any answers either explaining how to fix the memory leak problem OR why I'm not allowed to put while(true) in a thread (or maybe both :))

EDIT:
Ok, there seems to be a more fundamental problem. I ALSO get a memory leak if I use.

std::cout << "Starting Thread ..." << std::endl;

Now I'm really lost, really appreciate any help.