ERR: set errno in read_csv
The same is true for Pandas on Python 2.7 with except IOError and on Python 3.5 with OSError. The following is how to reproduce the bug on Python 3.5. 

Pandas is not reporting any errno within the exceptions. As a result, there is no way to differentiate between File Not Found Error (ENOENT) and other types of OSErrors. 
#### Code Sample

```
try:
    pd.read_csv("dummy_file")
except OSError as e:
    print(e.errno, errno.ENOENT)
```
#### Current Output

(None, 2)
#### Expected Output

(2, 2)
#### output of `pd.show_versions()`
## INSTALLED VERSIONS

commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Darwin
OS-release: 15.5.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 23.0.0
Cython: 0.24
numpy: 1.11.1
scipy: 0.17.1
statsmodels: 0.6.1
xarray: None
IPython: 4.2.0
sphinx: 1.4.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.0
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.2
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.40.0
pandas_datareader: None
