You can actually just hit ^C to copy the text of standard Windows errors even though the text is not selectable.

I don't know about OSX, but most of the Windows dialogs I see can easily be copypasted. Ctrl-C the dialog box, open a text editor/new email/et c, Ctrl-V it in. Unless you're doing something convoluted and making your own error dialogs.

Which will most likely be sent to you as a Word doc...