Interlocked Exchange of a struct

No there isn't unless you can fit your struct into 32 bits, in which case you can continue to use InterlockedExchange.

You can get an atomic operation on a 64-bit value using InterlockedExchange64 on 64-bit platforms and Windows Vista/7. That would be enough to fit two 32-bit int values in a struct.

Since the function is implemented with a complier instrinsic, it's basically calling a platform-dependent assembly instruction like CMPXCHG on x86. Since that instruction only works at a maximum (on 64-bit platforms) on a 64-bit register source operand, a 64-bit register or memory destination operand, and the RAX register, there is only a certain-size value you can perform an atomic operation on using single assembly instructions without incorporating some type of lock or semaphore to create a critical section.

Only if the struct is exactly 32 bits.

An alternative is to use an InterlockedExchange on a pointer to a struct. The struct has to be immutable (or never change it). To update the struct, make a new one and then exchange the pointer. You have to be careful about destroying the struct to make sure it is only done once, and only if no one is using it.