There was a solution to this bug posted in the Sony forums a while back.
Update your .NET framework to 2.0 beta (or possibly uninstall the .NET framework entirely) and your memory usage issues should vanish. It seems that .NET 1.1 has a memory leak related to DirectX somehow.
I can't seem to find the post now, looking at Sony's forums. Odd.
Anyhow, installing .NET 2.0 beta completely fixed the memory leak for me, on three different computers, one with an ATI card, and two with NVidia cards.
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