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Typically, the semi-colon problem is dealt with as in
Py_SET_ERANGE_IF_OVERFLOW.

So, 

#define SetErrno(X) do { SetLastError(X); } while (0)

I don't think (but can't remember if) there is any problem
for single statements like you have.  You could probably do:

#ifndef MS_WINCE
#define SetErrno(X) errno = (X)     /* note no ; */
#else
#define SetErrno(X) SetLastError(X) /* note no ; */
#endif