You are not using the correct delete. There are two forms of new: the scalar new that creates a single object (e.g. new int), and the array new that creates an array (e.g. new int[42]).
Likewise, there are two forms of delete: delete and delete[]. If you use new, you must use delete to destroy the object and if you use new[] you must use delete[] to destroy the object.
Since you have used new[] to create the object pointed to by pszDSPath, you must use delete[] pszDSPath to destroy the object.
Note, however, that this would be made much easier if you just used a std::vector:
std::size_t n = wcslen(pwszFilter)+
wcslen(wstrServer.c_str())+
wcslen(var.bstrVal) +
1;
std::vector<WCHAR> v(n);
// &v[0] can be used as you are using pszDSPath in your current code.
In C++, you should eschew manual memory management: it is extraordinarily difficult to get right and it takes a lot of work. There are library facilities in the C++ Standard Library, including containers like std::vector and std::map and smart pointers like std::auto_ptr, std::unique_ptr, and std::shared_ptr, that manage object lifetimes for you. You shouldn't do more work than you have to: if you think you have to write delete somewhere in your code, your code is probably wrong.
This principle of using containers to manage resource lifetimes is based on a design pattern called Scope-Bound Resource Management (SBRM) or Resource Acquisition is Initialization (RAII).
(std::unique_ptr is a part of C++0x designed to replace std::auto_ptr, and your compiler may not yet support it. std::shared_ptr is also a part of C++0x, but it has been available for about a decade as a part of the Boost libraries (as boost::shared_ptr) and was included in C++ TR1.)