What is the difference between _chdir and SetCurrentDirectory in windows?

They achieve the same result but belong to different APIs, so they return their results and report errors in different ways.

If you're already using other routines from either API, pick that one. If not, SetCurrentDirectory() is more "Windowsy", while _chdir() is more similar to the POSIX API. If you have a mind to port the code to, say, a Linux platform, use _chdir(); if you know you will only ever run the code on Windows platforms, SetCurrentDirectory().