You need the double expansion trick:
#define S(x) #x
#define S_(x) S(x)
#define S__LINE__ S_(__LINE__)
/* use S__LINE__ instead of __LINE__ */
Addendum, years later: It is a good idea to go a little out of one’s way to avoid operations that may allocate memory in exception-handling paths. Given the above, you should be able to write
throw std::runtime_error("exception at " __FILE__ " " S__LINE__);
which will do the string concatenation at compile time instead of runtime. It will still construct a std::string (implicitly) at runtime, but that’s unavoidable.