SQL server memory leak

I was doing a quick test with SQL Server Express and noticed that there is memory leak

Here is the pseudo code

do loop //1000 times
{
1. Open connection to the database
2. Build SQL statement
3. Construct SQLDataAdapter
4. Fill DataSet using ( adaptor.Fill(dataSet); )
5. Close connection to the database
6. Dispose whatever is disposable
}

When I ran this test I saw that SQLServer service memory usage is going up and never released

Is there something that I am doing wrong. If I ran same test against Access database then there is no problem

Thanks