In your JDK folder, look in /bin and find "jvisualvm.exe" (Java VisualVM) and double-click. It will scan the machine processes for anything Java that is currently running and allow you to start monitoring its memory usage (including itself!). The interface is pretty intuitive so you ought to figure out how to use it fast enough.
Nice to see a free utility ship with a free app dev't kit that isn't all but useless... in fact, this one helped me a lot in tracking down places in one large, data-intensive project codebase where I really needed to execute System.gc() at particular times to keep me needing >1 GB of memory. (Contrary to religious belief, running System.gc() is in fact a perfectly reasonable thing to do when you need to free up memory that is needed sooner rather than later.) Previously, I was blowing the heap space at all the wrong times (and there's no right time to do that), but this utility helped me locate the places in my code most guilty of memory-holding so I could stop that from happening.
EDIT: Over 2 years later I want to add as follows. I have not used the cited JVM switches myself for the purpose of tracking down memory leaks but I want to share this info b/c it may help someone else.
At: http://javarevisited.blogspot.com/2011/11/hotspot-jvm-options-java-examples.html
Quote: '8) JVM parameters to trace classloading and unloading
-XX:+TraceClassLoading and -XX:+TraceClassUnloading are two JVM options which we use to print logging information whenever classes loads into JVM or unloads from JVM. These JVM flags are extremely useful if you have any memory leak related to classloader and or suspecting that classes are not unloading or garbage collected.'