All,
I don't really understand what the big problem is. Yes, there is a memory leak, which is not great.
In XP, start the Task manager, click the Performance tab.
Start RTW, play for a while, I only see the problem after playing 2-3 hours.
Exit RTW, look at the Task manager. You'll see the memory line decreasing, took no longer than 1-2 minutes so far, could be more if more memory is taken up due to the hard drive needing to clear out the virtual memory. At some point all virtual memory is cleared.

Start RTW again, enjoy for the next couple of hours.

If you have been playing for hours on end, take a break anyway. If you actually work with PCs it's recommended to take at least a 5 minute break every hour so your eyes can relax a bit...

SadOldGoth