This response isn't about macro war, but producing error if no matching platform is found.
#ifdef LINUX_KEY_WORD
... // linux code goes here.
#elif WINDOWS_KEY_WORD
... // windows code goes here.
#else
#error Platform not supported
#endif
If #error is not supported, you may use static_assert (C++0x) keyword. Or you may implement custom STATIC_ASSERT, or just declare an array of size 0, or have switch that has duplicate cases. In short, produce error at compile time and not at runtime