Apple’s manpage on malloc (http://developer.apple.com/documentation/Darwin/Reference/ManPages/man3/malloc.3.html) describes MallocHelp and the other environment variables.
Essentially, apple’s build of the malloc tools (maybe only the debug or developer build; I can’t remember) is instrumented to cause it to spit out useful diagnostic information if it finds a handful of environment variables set. If you set the MallocHelp environment variable to any value, you will get the full list of options (which is also documented in the above manpage).
I do wonder at that message, though, because it sounds like something is trying to free memory it doesn’t own. Maybe this message should be showing up in Windows and/or Linux and isn’t? I’m not as familiar with either of their malloc packages as I am OS X… how do they respond if you pass a random number to free()?