How to destroy a window on the heap correctly?

[tjuzhangrui]

I create a modeless dialog by using new operator during the application is runing. And I want to destroy it until the user quit the application.
But this window is destroyed automatically by MFC,and if call DestroyWindow somewhere an error will occur.

CMyDialog::PostNcDestroy()
{
      // this will be called by the frame firstly!
      CDialog::PostNcDestroy();
      delete this;
}

CMyView::OnCreateDialog()
{
      if(m_pDlg==NULL)
     {
           m_pDlg=new CMyDialog;
           m_pDlg->Create(IDD_MYDIALOG);
           m_pDlg->ShowWindow(SW_SHOW);
     }
}

CMyView::OnDsetroy()
{
      //this call will be " Unhandled exception" error
      if(m_pDlg!=NULL) m_pDlg->DestroyWindow();
}

Of course, if cancel the code below:

  //if(m_pDlg!=NULL) m_pDlg->DestroyWindow();

there will be nothing error.
But I don't want the frame do free work for me.
I prefer that all the resource allocated by myslef is freed by myself also.
So how to destroy the dialog correctly?
Thanks!