Working for about 3 days to get rid of memory leaks when using Microsoft’s Active Scripting from within a C# .NET 2.0 Windows Forms application, I finally managed to create a working example project that runs without memory leaks.
I used Red Gate’s ANTS Memory Profiler to verify for memory leaks, the best tool around for doing such a task.
The key in resolving (see download project) was to call IActiveScript::Close to free any resources.
I hope, this article will help someone in the future when facing a similar issue.
(References: My initial question on Stack Overflow)