I wonder when to use a buffer:

szBuffer db 1024 dup (?)

And when to use:

GlobaAlloc

LocalAlloc

HeapAlloc

VirtualAlloc

In what situations i must use everyone of this? Differences, situations when use one or other, and advantages/disadvantages...

You allocate when you don't know the needed size in advance.

After a search in the forum and in msdn, i found that HeapAlloc & VirtualAlloc are the best choices to allocate. Seems that HeapAlloc for small allocations and VirtualAlloc for bigger ones.

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but only if you are sure it won't be too big. Up to few kilobytes, taking more off the stack is not so good idea.

HeapAlloc for generic memory allocations, Local/GlobalAlloc for those few APIs that require it (clipboard related, CreateStreamOnHGlobal, etc.). VirtuaAlloc for huge allocations.

Stack is fine for several kilobytes, and preferable to heap because it's much faster to add/sub esp than managing heap structures. Just remember to pre-touch pages to trigger guard-page allocation mechanism