I run setup file from Releases, and tried to follow official guide, but it has instructions for older versions only (Visual C++ 2010/2012/2013). I didn't find menus mentioned there. So how do I install vld on VS 2019?
Just use fork of VLD by Azure instead. It supports last versions of Visual Studio without additional configuration and fixes some bugs:
Microsoft Fork
This fork was created to address some of the issues found in the original repo https://github.com/KindDragon/vld, which has not been updated since November 24, 2017. The changes in this repo can be merged back into the original repo if it is again accepting pull requests.
If you would like to contribute to this fork, please submit a pull request. It will be looked at on a "best effort" basis as our team is available.
Copied from README.md
Congratulations, now you can use VLD, just
#include <vld.h>