typedef _Ret_maybenull_ _Post_writable_byte_size_(size) void*  
(STDAPIVCALLTYPE* XblMemAllocFunction)(  
         _In_ size_t size,  
         _In_ HCMemoryType memoryType  
);  

void* STDAPIVCALLTYPE MyXblAlloc(_In_ size_t size, _In_ HCMemoryType memoryType)
{
    UNREFERENCED_PARAMETER(memoryType);
    return malloc(size);
}

void STDAPIVCALLTYPE MyXblFree(_In_ _Post_invalid_ void* pointer, _In_ HCMemoryType memoryType)
{
    UNREFERENCED_PARAMETER(memoryType);
    free(pointer);
}

HRESULT hr = XblMemSetFunctions(MyXblAlloc, MyXblFree);
if (FAILED(hr))
{
    // Handle the error before you call XblInitialize.
}