You are trying to use the pre-processor to create pre-processor definitions. I've never tried that myself, but it seems like a bad idea that probably won't work. Instead try something like:
#ifdef _DEBUG
#define MYDBGPRINT(X) DbgPrint(X)
#else
#define MYDBGPRINT(X)
#endif
or in the case of having a variable number of arguments to your macro:
#ifdef DEBUG
#define MYDBGPRINT(...) DbgPrint(__VA_ARGS__)
#else
#define MYDBGPRINT(...)
#endif