How can I use #pragma message() so that the message points to the file(lineno)?

Here is one that allows you to click on the output pane:

(There are also some other nice tips there)

http://www.highprogrammer.com/alan/windev/visualstudio.html

 // Statements like:
 // #pragma message(Reminder "Fix this problem!")
 // Which will cause messages like:
 // C:\Source\Project\main.cpp(47): Reminder: Fix this problem!
 // to show up during compiles. Note that you can NOT use the
 // words "error" or "warning" in your reminders, since it will
 // make the IDE think it should abort execution. You can double
 // click on these messages and jump to the line in question.

 #define Stringize( L )     #L 
 #define MakeString( M, L ) M(L)
 #define $Line MakeString( Stringize, __LINE__ )
 #define Reminder __FILE__ "(" $Line ") : Reminder: "

Once defined, use like so:

#pragma message(Reminder "Fix this problem!") 

This will create output like:

C:\Source\Project\main.cpp(47): Reminder: Fix this problem!

just whipped this up now, and it sure beats my old solution of using #error :D

#define _STR(x) #x
#define STR(x) _STR(x)
#define TODO(x) __pragma(message("TODO: "_STR(x) " :: " __FILE__ "@" STR(__LINE__)))

you can modify this how ever you like/to whatever suits your needs. An example of its usage:

//in code somewhere
TODO(Fix this);

output in the console pane:

1>TODO: Fix this :: c:\users\administrator\documents\visual studio 2008\projects\metatest\metatest\metatest.cpp@33

only downside is you can't jump to the line of this (by double clicking the message in the console pane) using __pragma (but testing with #pragma it doesn't seem to be the case anyways...)

This is an addendum to the answer for those who find it tedious to punch in #pragma directives every-time they need to put a bookmark in the code: You can save a few keystrokes by whipping up a macro to do this for you! While in general, you cannot have a #pragma directive within macros, MS C/C++ compilers 2008 and above do support a special vendor-specific extension called the __pragma which can be used with macros. See Pragma Directives and the __Pragma Keyword.

I use something akin to the following on a daily basis:

#define STR2(x) #x
#define STR1(x) STR2(x)
#define LOC __FILE__ "("STR1(__LINE__)") : Warning Msg: "
#define WARNING_BUILDER(x) __FILE__ "("STR1(__LINE__)") : Warning Msg: " __FUNCTION__ " requires " #x
#define WREVIEW WARNING_BUILDER(review)
#define WUT WARNING_BUILDER(unit-testing)

#ifdef SPECIAL_WARNINGS
    #ifdef SPECIAL_WARNINGS_REVIEW
        #define MARK_FOR_REVIEW() do { \
                    __pragma(message( WREVIEW )) \
                } while (0)
    #else
        #define MARK_FOR_REVIEW 
    #endif

    #ifdef SPECIAL_WARNINGS_UNIT_TEST
        #define MARK_FOR_UNIT_TEST() do { \
                    __pragma(message( WUT )) \
                } while (0)
    #else
        #define MARK_FOR_UNIT_TEST 
    #endif
#endif


// uncomment/set in build-environment to enable special warnings
//#define SPECIAL_WARNINGS
#ifdef SPECIAL_WARNINGS
// uncomment/set in build-environment if you want only code review warnings
//#define SPECIAL_WARNINGS_REVIEW
// uncomment/set in build-environment if you want only unit-test warnings
//#define SPECIAL_WARNINGS_UNIT_TEST
#endif

int main()
{
MARK_FOR_REVIEW();
MARK_FOR_UNIT_TEST();
}

You can easily extend it to suit your needs and add more warnings. The good part of having such a system is that you can selectively turn-on say, only code-review items and not have to worry about anything else by setting the appropriate macro in the build settings.