I've used the "Export Template" feature numerous times for C#, ASP.NET, WinForms, etc. projects. Today I tried to do it for a C++ project and noticed "Export Template" was grayed out in the File-menu.
Is it not possible to create C++ template projects in VS 2008 ?
yes it is: the ones you see already when creating a new project are in $VsInstallDir)/vcprojects. To create one yourself, you basically create a .vsz and a.vsdir file in which you describe your project template, a bunch of script/html files for your own wizard, and the template files itself (.vcproj, additional content etc.). It is not very easy, but it is possible and very handy once done. Complete explanation is on MSDN, it's too much to elaborate on here.
Same goes for project items/classwizards, they all can be customised.