Why should/shouldn't I use the "new" operator to instantiate a class, and why?

I understand that this may be construed as one of those "what's your preference" questions, but I really want to know why you would choose one of the following methods over the other.

Suppose you had a super complex class, such as:

class CDoSomthing {

    public:
        CDoSomthing::CDoSomthing(char *sUserName, char *sPassword)
        {
            //Do somthing...
        }

        CDoSomthing::~CDoSomthing()
        {
            //Do somthing...
        }
};

How should I declare a local instance within a global function?

int main(void)
{
    CDoSomthing *pDoSomthing = new CDoSomthing("UserName", "Password");

    //Do somthing...

    delete pDoSomthing;
}

-- or --

int main(void)
{
    CDoSomthing DoSomthing("UserName", "Password");

    //Do somthing...

    return 0;
}