Consider adding SetLastError=true in DllImport declarations

The documentation on the [DllImportAttribute.SetLastError field](http://msdn.microsoft.com/EN-US/library/7kedzzk0%28v=VS.110,d=hv.2%29.aspx) says that its default value is `false`, but I think most Windows API methods will return `0` on failure and then say to call `GetLastError()` to find out what happened.
