See the MSDN for details. IIUC:
- _WIN32 is defined by the compiler, always, unless the platform is
WIN16 (which is no longer supported). It is even defined on Win64 (where
the compiler also defines _WIN64). So there should be no need to defined
it explicitly.
- WIN32 is checked-for in WinSock2.h. I couldn't figure out when
precisely it is supposed to be defined.
- _USRDLL apparently was once a mechanism of how to integrate with MFC.
It apparently isn't really used anymore in VS 2003 (afx.h still uses it
to trigger linkage of __afxForceUSRDL); I suppose it is safe to drop for
Python
- I couldn't quite figure out what _WINDOWS is good for.
- _CRT_SECURE_NO_DEPRECATE as you say, although that's also defined in
pyconfig.h.