gh-126742: Add _PyErr_SetLocaleString, use it for gdbm & dlerror messages (GH-126746)

- Add a helper to set an error from locale-encoded `char*`
- Use the helper for gdbm & dlerror messages

Co-authored-by: Victor Stinner <vstinner@python.org>

Modules/main.c

@@ -374,6 +374,7 @@ pymain_run_file_obj(PyObject *program_name, PyObject *filename,
     if (fp == NULL) {
         // Ignore the OSError
         PyErr_Clear();
+        // TODO(picnixz): strerror() is locale dependent but not PySys_FormatStderr().
         PySys_FormatStderr("%S: can't open file %R: [Errno %d] %s\n",
                            program_name, filename, errno, strerror(errno));
         return 2;