Code abstraction using the preprocessor vs interfaces?

[babaliaris]

Let's assume you're building a game and you want to have a Window class which it's implementation differs on different platforms.
I have seen two ways to achieve this. One is by wrapping each implementation with preprocessing directives and the second by using interfaces.

For example:

#ifdef Windows
#include <Windows.h>
class Window
{
    //Windows specific code.
};
#endif

#ifdef Linux
#include <Linux.h>
class Window
{
    //Linux specific code.
};
#endif

And the second way:

//Window.h
class Window
{
     public:
     virtual void CreateWindow() = 0;
     .
     .
     .
}


//WindowsWindow.h
class WindowsWindow: public Window
{

     //Windows specific implementation.
     public:
     virtual void CreateWindow()
    {
     }
     .
     .
     .
}



//LinuxWindow.h
class LinuxWindow: public Window
{

     //Linux Specific implementation.
     public:
     virtual void CreateWindow()
    {
     }
     .
     .
     .
}

Which one should I use?