<p>Assume that write operation throws an exception half-way.  Is there any data written into the file, or is no data written in the file?</p>

Short answer: Most likely some data will be written to the file, unless the disk is full at the start of the write operation.
Longer answer: It will depend on what CFileException is thrown from the Write call.
http://msdn.microsoft.com/en-us/library/as5cs056(VS.80).aspx