Update: As of the latest edition of the Compendium, this ruling has been changed. Here is the new ruling:
Q. If a Gloom Confused you, and next turn a Magmar Smoke Screened you, do you flip for Confusion or Smokescreen first?
A. Checking for Confusion should be the very first thing you deal with after announcing what attack you want to use. So as soon as you announce your attack, the check for Confusion happens immediately. If that passes, then you flip for Smokescreen's effect. (Jul 13, 2000 WotC Chat, Q328; Sep 25, 2014 TPCi Rules Team; Jan 7, 2016 TPCi Rules Team)