DuaneB:
Funnily enough, the command to do this is called 'new'.
When you attempt to use new, you're going to find that it doesn't exist in the current avr-libc/Arduino environment.
This is actually intentional.
Why? Well, basically because dynamic memory allocation on extremely memory limited environments such as these 8 bit AVR micros is generally just a bad idea. So don't do it. Just stick to statically allocated objects.