How about something like this?

ImportError moves from being a "simple" exception to a "complex" one, then adds a "name" and "path" attribute. In dynload_win.c where we try (and fail) to load C extensions, the name and path are set on the ImportError. The test simply creates a file following the C extension name format and checks that the attributes end up being correct upon ImportError.

Jazzing up the ImportErrors elsewhere in the code might be useful after this, but I'll handle that in another issue if this gains traction.