We were just printing errno, which is certainly not gonna work on
Windows.  Now, it's not entirely clear from Microsoft's documentation
whether _create_locale() adheres to standard Windows error reporting
conventions, but let's assume it does and try to map the GetLastError
result to an errno.  If this turns out not to work, probably the best
thing to do will be to assume the error is always ENOENT on Windows.

This is a longstanding bug, but given the lack of previous field
complaints, I'm not excited about back-patching it.

Per report from Murtuza Zabuawala.

Discussion: https://postgr.es/m/CAKKotZS-wcDcofXDCH=sidiuajE+nqHn2CGjLLX78anyDmi3gQ@mail.gmail.com