Understanding the concept of export symbols in shared libraries

I'm reading about this concept of exporting elements out of a shared library (DLL or OS).

I'm reading this existing publication on the GCC Wiki.

The last example of the publication is this:

// Generic helper definitions for shared library support
#if defined _WIN32 || defined __CYGWIN__
  #define FOX_HELPER_DLL_IMPORT __declspec(dllimport)
  #define FOX_HELPER_DLL_EXPORT __declspec(dllexport)
  #define FOX_HELPER_DLL_LOCAL
#else
  #if __GNUC__ >= 4
    #define FOX_HELPER_DLL_IMPORT __attribute__ ((visibility ("default")))
    #define FOX_HELPER_DLL_EXPORT __attribute__ ((visibility ("default")))
    #define FOX_HELPER_DLL_LOCAL  __attribute__ ((visibility ("hidden")))
  #else
    #define FOX_HELPER_DLL_IMPORT
    #define FOX_HELPER_DLL_EXPORT
    #define FOX_HELPER_DLL_LOCAL
  #endif
#endif

// Now we use the generic helper definitions above to define FOX_API and FOX_LOCAL.
// FOX_API is used for the public API symbols. It either DLL imports or DLL exports (or does nothing for static build)
// FOX_LOCAL is used for non-api symbols.

#ifdef FOX_DLL // defined if FOX is compiled as a DLL
  #ifdef FOX_DLL_EXPORTS // defined if we are building the FOX DLL (instead of using it)
    #define FOX_API FOX_HELPER_DLL_EXPORT
  #else
    #define FOX_API FOX_HELPER_DLL_IMPORT
  #endif // FOX_DLL_EXPORTS
  #define FOX_LOCAL FOX_HELPER_DLL_LOCAL
#else // FOX_DLL is not defined: this means FOX is a static lib.
  #define FX_API
  #define FOX_LOCAL
#endif // FOX_DLL

My doubt is at the beginning of the second part, more precisely in the line:

#ifdef FOX_DLL // defined if FOX is compiled as a DLL

Here you are checking whether the FOX_DLL macro has been set. But at what point in the code is this macro set? I'm seeing the test #ifdef her but I'm not seeing her definition anywhere.

And the name? Is it free choice? Are there any limitations to choosing the name?