C++ Equivalent of C# Yield?

Take a look at boost::Coroutine. It does what you want.
http://www.crystalclearsoftware.com/soc/coroutine/index.html#coroutine.intro

Example from tutorial

http://www.crystalclearsoftware.com/soc/coroutine/coroutine/tutorial.html

int range_generator(generator_type::self& self, int min, int max) 
{
     while(min < max)
         self.yield(min++);
     self.exit();
}