Question: My java application calls C++ code using JNI calls. I want to check the program for memory leaks in the C++ code. Tools like jconsole are only for analyzing java objects heap. What can I do?

Answer: 
My favourite native heap leak detection tool for Windows is [umdh.exe](http://support.microsoft.com/kb/268343). However, this will also display the current Java GC heap memory footprint, in whatever native form the JVM uses. 

You should still be able to identify memory attributable to your C++ code since it will (provided symbols are set up properly according to the UMDH instructions) have a callstack matching C++ code. So having Java code coresident will muddy the waters but should not make it impossible to track C++/native memory usage.
You need a native heap debugging tool. There are many available depending on your platform and what compiler was used for the native component.