How to get the error message from the error code returned by GetLastError()?

//Returns the last Win32 error, in string format. Returns an empty string if there is no error.
std::string GetLastErrorAsString()
{
    //Get the error message ID, if any.
    DWORD errorMessageID = ::GetLastError();
    if(errorMessageID == 0) {
        return std::string(); //No error message has been recorded
    }
    
    LPSTR messageBuffer = nullptr;

    //Ask Win32 to give us the string version of that message ID.
    //The parameters we pass in, tell Win32 to create the buffer that holds the message for us (because we don't yet know how long the message string will be).
    size_t size = FormatMessageA(FORMAT_MESSAGE_ALLOCATE_BUFFER | FORMAT_MESSAGE_FROM_SYSTEM | FORMAT_MESSAGE_IGNORE_INSERTS,
                                 NULL, errorMessageID, MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT), (LPSTR)&messageBuffer, 0, NULL);
    
    //Copy the error message into a std::string.
    std::string message(messageBuffer, size);
    
    //Free the Win32's string's buffer.
    LocalFree(messageBuffer);
            
    return message;
}

Updated (11/2017) to take into consideration some comments.

Easy example:

wchar_t buf[256];
FormatMessageW(FORMAT_MESSAGE_FROM_SYSTEM | FORMAT_MESSAGE_IGNORE_INSERTS,
               NULL, GetLastError(), MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT), 
               buf, (sizeof(buf) / sizeof(wchar_t)), NULL);

MSDN has some sample code that demonstrates how to use FormatMessage() and GetLastError() together: Retrieving the Last-Error Code

GetLastError returns a numerical error code. To obtain a descriptive error message (e.g., to display to a user), you can call FormatMessage:

// This functions fills a caller-defined character buffer (pBuffer)
// of max length (cchBufferLength) with the human-readable error message
// for a Win32 error code (dwErrorCode).
// 
// Returns TRUE if successful, or FALSE otherwise.
// If successful, pBuffer is guaranteed to be NUL-terminated.
// On failure, the contents of pBuffer are undefined.
BOOL GetErrorMessage(DWORD dwErrorCode, LPTSTR pBuffer, DWORD cchBufferLength)
{
    if (cchBufferLength == 0)
    {
        return FALSE;
    }

    DWORD cchMsg = FormatMessage(FORMAT_MESSAGE_FROM_SYSTEM | FORMAT_MESSAGE_IGNORE_INSERTS,
                                 NULL,  /* (not used with FORMAT_MESSAGE_FROM_SYSTEM) */
                                 dwErrorCode,
                                 MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT),
                                 pBuffer,
                                 cchBufferLength,
                                 NULL);
    return (cchMsg > 0);
}

In C++, you can simplify the interface considerably by using the std::string class:

#include <Windows.h>
#include <system_error>
#include <memory>
#include <string>
typedef std::basic_string<TCHAR> String;

String GetErrorMessage(DWORD dwErrorCode)
{
    LPTSTR psz{ nullptr };
    const DWORD cchMsg = FormatMessage(FORMAT_MESSAGE_FROM_SYSTEM
                                         | FORMAT_MESSAGE_IGNORE_INSERTS
                                         | FORMAT_MESSAGE_ALLOCATE_BUFFER,
                                       NULL, // (not used with FORMAT_MESSAGE_FROM_SYSTEM)
                                       dwErrorCode,
                                       MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT),
                                       reinterpret_cast<LPTSTR>(&psz),
                                       0,
                                       NULL);
    if (cchMsg > 0)
    {
        // Assign buffer to smart pointer with custom deleter so that memory gets released
        // in case String's c'tor throws an exception.
        auto deleter = [](void* p) { ::LocalFree(p); };
        std::unique_ptr<TCHAR, decltype(deleter)> ptrBuffer(psz, deleter);
        return String(ptrBuffer.get(), cchMsg);
    }
    else
    {
        auto error_code{ ::GetLastError() };
        throw std::system_error( error_code, std::system_category(),
                                 "Failed to retrieve error message string.");
    }
}

NOTE: These functions also work for HRESULT values. Just change the first parameter from DWORD dwErrorCode to HRESULT hResult. The rest of the code can remain unchanged.

• Complete sample code, not just a reference to the API to call.
• Provides both C and C++ implementations.
• Works for both Unicode and MBCS project settings.
• Takes the error code as an input parameter. This is important, as a thread's last error code is only valid at well defined points. An input parameter allows the caller to follow the documented contract.
• Implements proper exception safety. Unlike all of the other solutions that implicitly use exceptions, this implementation will not leak memory in case an exception is thrown while constructing the return value.
• Proper use of the FORMAT_MESSAGE_IGNORE_INSERTS flag. See The importance of the FORMAT_MESSAGE_IGNORE_INSERTS flag for more information.
• Proper error handling/error reporting, unlike some of the other answers, that silently ignore errors.

This answer has been incorporated from Stack Overflow Documentation. The following users have contributed to the example: stackptr, Ajay, Cody Gray♦, IInspectable.