If you don't mind a reference to a book, there's an article named "Large-Scale Stack-Based State Machines" in Game Programming Gems 5 which provides a very good implementation of what you seek. I've been using a variation of it for the last few years, and like it a lot. Most of the insights that I got from that article, I've already talked about in this answer, so there's no need to repeat myself.
But since it might not be easy to get your hands on that book, here's a free alternative. The first chapter of the Gamebryo Textbook describes an implementation which is pretty much based on the one presented in Game Programming Gems 5, and you can also find the source code here.
(Update: The links above are no longer valid, and I can't seem to find where they have been relocated. If someone does, please edit this answer)
And finally, despite being in C# and XNA, this sample from Microsoft provides a simple implementation which should be pretty easy to follow and convert to C++.
