It's not too hard. Just write a simple wrapper around FormatMessage:

  DWORD errorCode = GetLastError();

  DWORD dwFlg = FORMAT_MESSAGE_ALLOCATE_BUFFER | FORMAT_MESSAGE_FROM_SYSTEM |    FORMAT_MESSAGE_IGNORE_INSERTS;
  LPTSTR lpMsgBuf = NULL;
  FormatMessageA(dwFlg, 0, errorCode, 0, (LPTSTR)&lpMsgBuf, 0, NULL);

  // Error message is in lpMsgBuf so make sure to free afterwards.
  LocalFree(lpMsgBuf);