What can and can't the preprocessor do?

[HighCommander4]

I want the code

MY_MACRO(x)

to be replaced by the code

#ifdef my_class_##x
   #error My error message
#endif
class my_class_##x
{
     ...
};

However, this macro does not compile:

#define MY_MACRO(x) \
#ifdef my_class_##x \
    #error My error message \
#endif \
class my_class_##x; \
{ \
   ... \
};

Is there a way to accomplish something like this?