Prior to this change (SET_)ERRNO mapped to GetLastError/SetLastError
for Win32 and regular errno otherwise.

I reviewed the code and found no justifiable reason for conflating errno
on WIN32 with GetLastError/SetLastError. All Win32 CRTs support errno,
and any Win32 multithreaded CRT supports thread-local errno.

Fixes https://github.com/curl/curl/issues/895
Closes https://github.com/curl/curl/pull/1589