C++ using a critical section

BTW, the usage of Locker class is a good demonstration of C++ RAII

The Enter/Leave code works. I get error when I replace it with the Locker code.

error C2530: 'myCS' : references must be initialized

#pragma once
#include "CriticalSection.h" // the header where you will copy/paste the CriticalSection class definition
class MyClass
{
public:
  MyClass(void);
  ~MyClass(void);

private:
  CriticalSection myCS;
  int myVariable;
  void ThreadSafeWrite(int i) 
  {
    //myCS.Enter();
    //myVariable = i;
    //myCS.Leave();
    Locker(&myCS);
    myVariable = i;
  }
  int  ThreadSafeRead()
  {
    Locker(&myCS);
    return myVariable;
  }


public:
  void SetMyVariable(int i) {
    ThreadSafeWrite(i);
  }
  int GetMyVariable(void) {
    return ThreadSafeRead();
  }
};

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CriticalSection.h (I threw class Locker at the bottom):

#pragma once

#ifdef _WIN32
#   include <windows.h>
#else
#   include <unistd.h>
#   include <pthread.h>
#endif


/**
 * @class A wrapper-class around Critical Section functionality, WIN32 & PTHREADS.
 */
class CriticalSection
{
public:
    /**
     * @brief CriticalSection class constructor.
     */
    explicit CriticalSection(void)
    {
    #ifdef _WIN32
        if (0 == InitializeCriticalSectionAndSpinCount(&m_cSection, 0))
            throw("Could not create a CriticalSection");
    #else
        if (pthread_mutex_init(&m_cSection, NULL) != 0)
            throw("Could not create a CriticalSection");
    #endif
    }; // CriticalSection()
 
    /**
     * @brief CriticalSection class destructor
     */
    ~CriticalSection(void)
    {
        Enter(); // acquire ownership (for pthread)
    #ifdef _WIN32
        DeleteCriticalSection(&m_cSection);
    #else
        pthread_mutex_destroy(&m_cSection);
    #endif
    }; // ~CriticalSection()
 
    /**
     * @fn void Enter(void)
     * @brief Wait for unlock and enter the CriticalSection object.
     * @see TryEnter()
     * @return void
     */
    void Enter(void)
    {
    #ifdef _WIN32
        EnterCriticalSection(&m_cSection);
    #else
        pthread_mutex_lock(&m_cSection);
    #endif
    }; // Enter()
 
    /**
     * @fn void Leave(void)
     * @brief Leaves the critical section object.
     * This function will only work if the current thread
     * holds the current lock on the CriticalSection object
     * called by Enter()
     * @see Enter()
     * @return void
     */
    void Leave(void)
    {
    #ifdef _WIN32
        LeaveCriticalSection(&m_cSection);
    #else
        pthread_mutex_unlock(&m_cSection);
    #endif
    }; // Leave()
 
    /**
     * @fn bool TryEnter(void)
     * @brief Attempt to enter the CriticalSection object
     * @return bool(true) on success, bool(false) if otherwise
     */
    bool TryEnter(void)
    {
        // Attempt to acquire ownership:
    #ifdef _WIN32
        return(TRUE == TryEnterCriticalSection(&m_cSection));
    #else
        return(0 == pthread_mutex_trylock(&m_cSection));
    #endif
    }; // TryEnter()
 
private:
#ifdef _WIN32
    CRITICAL_SECTION m_cSection; //!< internal system critical section object (windows)
#else
    pthread_mutex_t m_cSection; //!< internal system critical section object (*nix)
#endif
}; // class CriticalSection


class Locker
{
public:
   Locker(CriticalSection *cs):myCS(cs){cs->Enter();}
   ~Locker(){myCS->Leave();}
private:
   CriticalSection *myCS;
};

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I think the error comes from the Locker's destructor. Replace the Locker's code to this:

class Locker
{
public:
   Locker(CriticalSection *cs){myCS = cs; myCS->Enter();}
   ~Locker(){myCS->Leave();}
private:
   CriticalSection *myCS;
};

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Tried. It's complaining about lines 17 and 22:

Locker(&myCS);

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error C2530: 'myCS' : references must be initialized

Ok. The error does not make sense. Please modify the code as follows:
class Locker

{
public:
   Locker(CriticalSection *cs){lockerCS = cs; lockerCS->Enter();}
   ~Locker(){lockerCS->Leave();}
private:
   CriticalSection *lockerCS;
}; 

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It's happy if I assign a variable to Locker(&myCS);

  void ThreadSafeWrite(int i) 
  {
    Locker locker = Locker(&myCS);
    myVariable = i;
  }
  int  ThreadSafeRead()
  {
    Locker locker = Locker(&myCS);
    return myVariable;
  }

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I must have been stupid yesterday. You are right. You need to have a local variable. The correct code would be:
 

void ThreadSafeWrite(int i) 
  {
    Locker locker(&myCS);
    myVariable = i;
  }
  int  ThreadSafeRead()
  {
    Locker locker(&myCS);
    return myVariable;
  } 

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you do not need to make unnecessary class copies. Sorry for the mess. Thanks for the points though.

So

Locker locker = Locker(&myCS);

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actually makes a copy? I've been wondering what the proper way is to instantiate a class and store it in a variable. I've been defining variable myClass in *.h:

private:
  MyClass myClass;

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and then in *.cpp setting myClass

myClass = MyClass(a,b,c);

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I suppose there's a better way?

when you have a class defined like this:

class A:
{
public:
  A(int i, int j)
  {
     I = i; J =j;
  }
private:
  int I, J;
};

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The constructor A(int i, int j) is not the only one that exists for your class. The C++ creates implicitly defined default constructor for you. Read here about this.
So, in your code:

A a = A(1,2);

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What happens is:
1. This line A(1,2) creates a temp object.
2. This line A a is your actual object a
3. The a = A(1,2) is actually internally calling

operator=(const A&)

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, which is also implicitly defined by the compiler.
4. The temp object created in #1 is destroyed.
If you actually put a breakpoint to the constructor and destructor of A, you will notice that it will be fired twice.

As you can see the creation of the temp object and its copy is completely unnecessary. When I created the Locker class I should have created the explicit constructor and hidden the default ones