Hi themaster,
Welcome to the forum.
You don't need a macro to define UNICODE strings. The dw directive does the job :
.386
.model flat,stdcall
option casemap:none
includelib \PellesC\lib\Win\kernel32.lib
includelib \PellesC\lib\Win\user32.lib
MessageBoxW PROTO :DWORD,:DWORD,:DWORD,:DWORD
ExitProcess PROTO :DWORD
MB_OK equ 0
.data
capt dw 'Hello',0
message dw 'This a UNICODE test',0
.code
start:
invoke MessageBoxW,0,ADDR message,ADDR capt,MB_OK
invoke ExitProcess,0
END start