You need to include "MemoryLeakDetectorFreeMacros.h" and/or "MemoryLeakDetectorMallocMacros.h" in every sourcefile in your code under test, and also define CPPUTEST_USE_MEM_LEAK_DETECTION.
Most compilers have a flag you can use to automatically include a header in every source file; gcc has -include and MSVC has /FI.