Java has this in the form of an ordered set. I don't thing C++ has this, but it is not that difficult to implement yourself. What the Sun guys did with the Java class was to extend the hash table such that each item was simultaneously inserted into a hash table and kept in a double linked list. There is very little overhead in this, especially if you preallocate the items that are used to construct the linked list from.
If I where you, I would write a class that either used a private vector to store the items in or implement a hashtable in the class yourself. When any item is to be inserted into the set, check to see if it is in the hash table and optionally replace the item in there if such an item is in it. Then find the old item in the hash table, update the list to point to the new element and you are done.
To insert a new element you do the same, except you have to use a new element in the list - you can't reuse the old ones.
To delete an item, you reorder the list to point around it, and free the list element.
Note that it should be possible for you to get the part of the linked list where the element you are interested in is directly from the element so that you don't have to walk the chain each time you have to move or change an element.
If you anticipate having a lot of these items changed during the program run, you might want to keep a list of the list items, such that you can merely take the head of this list, rather than allocating memory each time you have to add a new element.
You might want to look at the dancing links algorithm.