On your compiler command line. You commonly set a directive with the /D option. For example, to compile an UltraLite application with user authentication, a makefile for the Microsoft Visual C++ compiler may look as follows:

CompileOptions=/c /DPRWIN32 /Od /Zi /DWIN32
/DUL_USE_DLL 

IncludeFolders= \
/I"$(VCDIR)\include" \
/I"$(SQLANY11)\SDK\Include"

sample.obj: sample.cpp
 cl $(CompileOptions) $(IncludeFolders) sample.cpp

VCDIR is your Visual C++ directory and SQLANY11 is your SQL Anywhere installation directory.

In the compiler settings window of your user interface.

In source code. You supply directives with the #define statement.