Many others have provided good info for sleeping. I agree with Wedge that a sleep seldom the most appropriate solution.
If you are sleeping as you wait for something, then you are better off actually waiting for that thing/event. Look at Condition Variables for this.
I don't know what OS you are trying to do this on, but for threading and synchronisation you could look to the Boost Threading libraries (Boost Condition Varriable).
Moving now to the other extreme if you are trying to wait for exceptionally short periods then there are a couple of hack style options. If you are working on some sort of embedded platform where a 'sleep' is not implemented then you can try a simple loop (for/while etc) with an empty body (be careful the compiler does not optimise it away). Of course the wait time is dependant on the specific hardware in this case.
For really short 'waits' you can try an assembly "nop". I highly doubt these are what you are after but without knowing why you need to wait it's hard to be more specific.