Resource leak if 'Class not registered'.

I have a class that inherits from TOleControl which I use to create
ActiveForms dynamically, based on their CLSIDs. If a class isn't registered
on my computer, an exception will be raised. I can filter that in a try -
catch block.

However, when I close my program CodeGuard will tell me that there are two
resource leaks. The memory allocated by the raised exception isn't freed.
Here's where the exception is raised:
procedure OleError(ErrorCode: HResult);
begin
  raise EOleSysError.Create('', ErrorCode, 0);
end;

WHERE am I supposed to free this memory. HOW and WHEN do I access it?

- Kristoffer -