User interface thread - memory leak - IMPLEMENT_DYNCREATE

The following is output from the VC debugger after I shutdown my program:oleinit.cpp(86) : {1953} client block at 0x00A1CEA0, subtype 0, 68 bytes long.
a CCmdTarget object at $00A1CEA0, 68 bytes long
#File Error#(35) : {1903} client block at 0x00A1BF70, subtype 0, 128 bytes long.
an invalid object at $00A1BF70, 128 bytes long

Through some messing around, I figured out which file the second error comes from and the line at that point is:IMPLEMENT_DYNCREATE(CBFGraphThread, CWinThread)

More information:
The thread creates, launches & maintains a modeless dialog box.

The funny bit:
If I leave the dialog alone, its fine, no mem leaks.
However, If I am dragging the dlg (or resizing it) as the dialog is killed (by calling DestroyWindow), I get the mem leaks above.