Yes, they are programmed in C - although an extension could use C++ if the author wanted.
Yes, you can make your own. Refer to the manual:
http://uk.php.net/manual/en/zend.creating.php
Although some of the extensions / Zend documentation is somewhat out of date.
(Note that a lot of people refer to the Zend Accelerator as "Zend", where as Zend is really the engine which is built into PHP).
Mark