CString memory leak in cwinthread

When running my code I get this:

Detected memory leaks!
Dumping objects ->
strcore.cpp(118) : {86} normal block at 0x00302DF0, 31 bytes long.
 Data: <            Dude> 01 00 00 00 12 00 00 00 12 00 00 00 44 75 64 65
Object dump complete.

This is the code:
CString sD;
sD = "Dude this is weird";

If I comment out the second line only, the memory leak goes away.

This code is within a CWinThread object that is called from the main window and exits with a call to AfxEndThread(0); after sending a message back to the parent.  I can put this code in the parent window and it's fine.

There's another instance within the CWinThread object prior to these lines where this code is run:

CFtpConnection* pCon = NULL;
                     
try
      {
           pCon = parent->m_sSession->GetFtpConnection(FTP_SERVER, FTP_USER, FTP_PW, 21, TRUE);
      }
      catch (CInternetException* pEx)
      {
            CString sConnectionErrorMsg;
            TCHAR sz[1024];
            pEx->GetErrorMessage(sz, 1024);
            sConnectionErrorMsg.Format("Return error message: %s", sz);
            returnCode = UPDATE_CONNECTION_ERROR;
            m_sLog += "\r\nFTP connection failed\r\n" + sConnectionErrorMsg;
            pEx->Delete();
            delete pCon;
            pCon = NULL;
      }

Notice the use of CString object sConnectionErrorMsg here.  This does NOT create a memory leak.

Any ideas?