Store err in the global errno variable. Useful values for err is
EAGAIN and EINTR, other values are treated will be treated as real
errors in the push/pull function.
This function is useful in replacement push/pull functions set by
gnutls_transport_set_pullpush_function under Windows, where the
replacement push/pull may not have access to the same errno
variable that is used by GnuTLS (e.g., the application is linked to
msvcr71.dll and gnutls is linked to msvcrt.dll).
Whether this function is thread safe or not depends on whether the
global variable errno is thread safe, some system libraries make it
a thread-local variable. When feasible, using the guaranteed
thread-safe gnutls_transport_set_errno() may be better.