How should I use FormatMessage() properly in C++?

Keep in mind that you cannot do the following:

{
   LPCTSTR errorText = _com_error(hresult).ErrorMessage();

   // do something with the error...

   //automatic cleanup when error goes out of scope
}

As the class is created and destroyed on the stack leaving errorText to point to an invalid location. In most cases this location will still contain the error string, but that likelihood falls away fast when writing threaded applications.

So always do it as follows as answered by Shog9 above:

{
   _com_error error(hresult);
   LPCTSTR errorText = error.ErrorMessage();

   // do something with the error...

   //automatic cleanup when error goes out of scope
}

Here's the proper way to get an error message back from the system for an HRESULT (named hresult in this case, or you can replace it with GetLastError()):

LPTSTR errorText = NULL;

FormatMessage(
   // use system message tables to retrieve error text
   FORMAT_MESSAGE_FROM_SYSTEM
   // allocate buffer on local heap for error text
   |FORMAT_MESSAGE_ALLOCATE_BUFFER
   // Important! will fail otherwise, since we're not 
   // (and CANNOT) pass insertion parameters
   |FORMAT_MESSAGE_IGNORE_INSERTS,  
   NULL,    // unused with FORMAT_MESSAGE_FROM_SYSTEM
   hresult,
   MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT),
   (LPTSTR)&errorText,  // output 
   0, // minimum size for output buffer
   NULL);   // arguments - see note 
   
if ( NULL != errorText )
{
   // ... do something with the string `errorText` - log it, display it to the user, etc.

   // release memory allocated by FormatMessage()
   LocalFree(errorText);
   errorText = NULL;
}

The key difference between this and David Hanak's answer is the use of the FORMAT_MESSAGE_IGNORE_INSERTS flag. MSDN is a bit unclear on how insertions should be used, but Raymond Chen notes that you should never use them when retrieving a system message, as you've no way of knowing which insertions the system expects.

FWIW, if you're using Visual C++ you can make your life a bit easier by using the _com_error class:

{
   _com_error error(hresult);
   LPCTSTR errorText = error.ErrorMessage();
   
   // do something with the error...

   //automatic cleanup when error goes out of scope
}

Not part of MFC or ATL directly as far as I'm aware.

Try this:

void PrintLastError (const char *msg /* = "Error occurred" */) {
        DWORD errCode = GetLastError();
        char *err;
        if (!FormatMessage(FORMAT_MESSAGE_ALLOCATE_BUFFER | FORMAT_MESSAGE_FROM_SYSTEM,
                           NULL,
                           errCode,
                           MAKELANGID(LANG_NEUTRAL, SUBLANG_DEFAULT), // default language
                           (LPTSTR) &err,
                           0,
                           NULL))
            return;

        static char buffer[1024];
        _snprintf(buffer, sizeof(buffer), "ERROR: %s: %s\n", msg, err);
        OutputDebugString(buffer); // or otherwise log it
        LocalFree(err);
}