allow inclusion in C programs (#4608)
allow inclusion in C programs (#4608)

* allow inclusion in C programs

* adding documentation to macro

* Support for ANSI C, _Thread_local where available.

* fix macro for docs
microsoft/LightGBM,henry0312/LightGBM,henry0312/LightGBM,henry0312/LightGBM,microsoft/LightGBM,microsoft/LightGBM,henry0312/LightGBM,microsoft/LightGBM,henry0312/LightGBM,microsoft/LightGBM