I'm not sure if there's a niifty .NET wrapper, but you could call the FormatMessage API using P/Invoke.
See this answer for how it would normally be called from native code. Though the question refers to grabbing error codes from HRESULTs, the answer also applies for retreiving codes from the regular OS error codes coming from GetLastError/GetLastWin32Error).
EDIT: Thanks Malfist for pointing me to pinvoke.net, which includes alternative, managed API:
using System.ComponentModel;
string errorMessage = new Win32Exception(Marshal.GetLastWin32Error()).Message;
Console.WriteLine(errorMessage);
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…