Most MicroStation applications that utilize Windows functionality requiring UNICODE and _UNICODE to be defined simply place the follow at the top of their source code files:
#define UNICODE 1 #define _UNICODE 1 #include <Windows.h>
If you prefer the MicroStation CONNECT developer shell supports calling a custom pre-preprocessing script prior to setting of the MicroStation development environment via: mdlsdk1000_preproc.bat. This ensures whatever additional initialization actions you like or need to perform can be called.
HTH,
Bob