I have been teachingmy self c++ from a book I bought and different online tutorials, but I have no really program building experience. Is there a site witch give your different c++ problems or asks you to build different programs that do different things?

What do you mean by "program building experience" and "Is there a site witch give different c++ problems or asks you to build different programs that do different things?"
Don't really understand you, i would like to help but explain it better.

hmm well you could go to the following site
http://www.planet-source-code.com/
Pick C++ and pick a folder. Theres tons and tons of source codes to simple games, and more complex programs. You sould learn more about OOP (Object Oriented Programing) Just search a google and you should find plenty of information.
Hope this has helped you

a couple simple ones here http://www.cprogramming.com/challenge.html

or if you know C++ well, you could go to sourceforge, look in there Wanted list, and e-mail a admin of a project. Tell him your knew to all this, and you would like the experience of building a program/application or whatever there making.