The reservist, an ethnic Albanian himself, was killed after 10 men in two cars opened fire with machineguns on a remote police post in the village of Bogovinje, a police spokesman said. No-one else was hurt.
The area, where most of the population are of Albanian origin, has seen several attacks over the past few weeks, and correspondents say tension there remains high.
The Macedonian elections are a key part of the peace deal signed last year, which ended a seven-month uprising by ethnic Albanian militants.
The recent unrest has raised concerns in Nato and the European Union, the key players behind the peace pact, that provocations could disrupt the polls and even spark fresh conflict.
Under a law passed last June, there will be greater voter security ahead of the election, and an increased police presence around polling stations.
Two ethnic Albanian suspects have been detained in connection with the attack, police spokesman Voislav Zafirovski is quoted as saying by the Associated Press.
One of the suspects holds Macedonian citizenship, while the other is from Kosovo, the UN-controlled Yugoslav province just north of Macedonia, he added.
Police reinforcements were immediately sent to help, but the gunmen had already escaped by the time they reached the scene, the police spokesman said.
Summer trouble
The latest flare-up of trouble in Macedonia began in mid-August when a little-known ethnic Albanian separatist group gunned down two policemen south of Tetovo.
At the time, the government said the attack was an attempt to wreck the country's election.
A few days later, tensions reached a peak when Macedonian security forces surrounded an ethnic Albanian village, again south of Tetovo, after gunmen seized five hostages and demanded the release of former rebel fighters.
The conflict last year brought the former Yugoslav republic to the brink of civil war and threatened to spill into other parts of the Balkans.
But ethnic Albanian guerrillas agreed to lay down their arms in return for better rights for their minority community, including increased representation in state institutions like the police.