In Windows, is there any way to convert an errno into an HRESULT?

In short, no.

As of http://msdn.microsoft.com/en-us/library/5814770t%28v=vs.100%29.aspx

The errno values are constants assigned to errno in the event of various error conditions.

ERRNO.H contains the definitions of the errno values. However, not all the definitions given in ERRNO.H are used in 32-bit Windows operating systems. Some of the values in ERRNO.H are present to maintain compatibility with the UNIX family of operating systems.

The errno values in a 32-bit Windows operating system are a subset of the values for errno in XENIX systems. Thus, the errno value is not necessarily the same as the actual error code returned by a system call from the Windows operating systems. To access the actual operating system error code, use the _doserrno variable, which contains this value.

Of course you can write your own function with switch-cases which will "translate" error codes.

You can see that there are about 80 errno values defined on windows.