String literals do not respond to addition in the way you're expecting. That will take the address of the string literal, interpret it as a char pointer, then add the value of the char you're getting from Alphabet[x], which will be in the 0x41-0x5A range. (Edit - Nevermind, it looks like you realized that.)

If you want to append to a std::string then you can use the append() method, though it doesn't support single char as input. You need to pass it a std::string or a C-style string, so we've more or less come full circle here.

You could do this:

#include <string>
#include <iostream>

int main() {
  using namespace std;
  string Alphabet = "ABCDEFGHIJKLMNOPQRSTUVWXYZ";
  string str = "Option";
  int x = 4;
  char temp[2] = {Alphabet[x], 0}; //kludge together a C string from two char values
  str.append(temp);
  cout << str << endl;

  system("pause");
  return 0;
}

If you want to append to a std::string then you can use the append() method, though it doesn't support single char as input. You need to pass it a std::string or a C-style string, so we've more or less come full circle here.

You can append a single char N times.

std::string What = "Option";
What.append(1, Alphabet[x]);

std::string What = "Option";
What.push_back(Alphabet[x]);

Some day I'll actually just sit down and comprehensively read a set of STL docs.

In Visual C++ you may declare:
CString Alphabet = "ABCDEFGHIJK";

the 5th letter out of this string:
CString c5 = Alphabet.Mid(4,1);

That is plain horrible advice. There is C++ standard library class which does the same job (only apparently better if Mid(4, 1) is indeed the way to retrieve the character with index 4). CString is useless if you have the intention of writing standard compliant code and perhaps port the program to a different platform. Even when using MSVC only you are pulling in a rather large dependency you really do not need under normal circumstances.

Well I already mentioned the C++ equivalent which is Alphabet.substr(4,1);

I agree don't pull in ATL or worse MFC if you can use the standard library for the job.