It depends on the specific situation but in general supplying the allocated buffer seems to be preferable.
As mentioned by Jim, DLLs can cause problems if called function allocates memory. That would be the case if you decide to distribute the code as a Dll and get_a_struct is exported to/is visible by the users of the DLL. Then the users have to figure out, hopefully from documentation, if they should free the memory using free, delete or other OS specific function. Furthermore, even if they use the correct function to free the memory they might be using a different version of the C/C++ runtime. This can lead to bugs that are rather hard to find. Check this Raymond Chen post or search for "memory allocation dll boundaries". The typical solution is export from the DLL your own free function. So you will have the pair: get_a_struct/release_a_struct.
In the other hand, sometimes only the called function knows the amount of memory that needs to be allocated. In this case it makes more sense for the called function to do the allocation. If that is not possible, say because of the DLL boundary issue, a typical albeit ugly solution is to provide a mechanism to find this information. For example in Windows the GetCurrentDirectory function will return the required buffer size if you pass 0 and NULL as its parameters.