rogue like game initializing error

I'm making a simple map for simple rogue-like game. So I need to initialize map with Objects created for each array cell by receiving data from character array[i][j]. Suggested that such CWall, CDoor classes are defined in other files like CWall.cpp, CWall.h, Underneath are the code to initialize in map.cpp

But is this right way to code? I think this causes a problem of allocating memory.

CObject CMap::insertObject(char character){ 
    if (character = '*') {
        CWall cwall;
        return cwall;
    }

    if (character = 'D') {
        CDoor cdoor;
        return cdoor;
    }

    if (character = 'F') {
        CFood cfood;
        return cfood;
    }

    if (character = 'K') {
        CKey ckey;
        return ckey;
    }

    if (character = 'M') {
        CMMonster cmmonster;
        return cmmonster;
    }

    if (character = 'm') {
        CMonster cmonster;
        return cmonster;
    }

    if (character = '@') {
        CPlayer cplayer;
        return cplayer;
    }

    if (character = 'P') {
        CPrincess cprincess;
        return cprincess;
    }

    if (character = '&') {
        CRock crock;
        return crock;
    }

    if (character = 'S') {
        CShield cshield
        return cshield;
    }

    else {
        CShield cshield;
        return cshield;
    }
}

void CMap::initialize(char arr[][COLS]){
    for (int i = 0; i <= 11; i++){
        for (int j = 0; j <= 38; j++){
            char character = arr[i][j];
            insertObject(character);
        }
    }
}

Well, for one thing, you aren't actually initializing anything. CWall* cwall = new CWall; would be the proper way to dynamically allocate and initialize a new CWall object (assuming CWall has a default constructor, of course), or any object for that matter.

What you also need to bear in mind is that, for everything you allocate with new, you have to deallocate with delete later. Thus, you will need to put some thought into how you store those allocated objects, so you can ensure your destructor or cleanup function removes all of them when you're done. One design pattern to consider would be the Object Pool, though there are easily several dozen good ways to do it. That's footwork you're going to have to do yourself, though, as only you know enough about your project to select the right design pattern. (That book I linked to is a great resource.)

EDIT: As per your comment, there is one other issue, and that is that you are returning different types of objects. This is a simple issue of inheritance - as long as all of those objects inherit from an abstract base class of CObject (or something similar), you can simply list the return type as CObject*. Then, as long as you're returning an object (or a pointer to an object) that inherits from CObject, you're golden.

EDIT 2: Whenever you use new, you are actually getting a pointer to the dynamically allocated object. That creates some problems of its own, including that new can return a null pointer if the allocation fails. Be sure to check for that! A smart pointer can prevent many of those problems, but your use of smart pointers depends on your design pattern choices.