Fix SetThreadName with gdb 7.10 on x86

Additionally to eccefd97, we need to ensure the exception handler is
installed for the _ljfault used to implement _try/_except to get called.

Also use the correct macro for x86 conditional compilation.

Addresses https://cygwin.com/ml/cygwin/2016-09/msg00143.html

Signed-off-by: Jon Turney <jon.turney@dronecode.org.uk>

winsup/cygwin/miscfuncs.cc

@@ -1129,11 +1129,18 @@ SetThreadName(DWORD dwThreadID, const char* threadName)
       0x1000,                 /* type, must be 0x1000 */
       (ULONG_PTR) threadName, /* pointer to threadname */
       dwThreadID,             /* thread ID (+ flags on x86_64) */
-#ifdef __X86__
+#ifdef _X86_
       0,                      /* flags, must be zero */
 #endif
     };
 
+#ifdef _X86_
+  /* On x86, for __try/__except to work, we must ensure our exception handler is
+     installed, which may not be the case if this is being called during early
+     initialization. */
+  exception protect;
+#endif
+
   __try
     {
       RaiseException (MS_VC_EXCEPTION, 0, sizeof (info) / sizeof (ULONG_PTR),