I can cut steel on my cnc router. I cut a hole in a stainless exhaust pipe the other night. It took 20 minutes and the cut quality was not that good. Similarly, I cut aluminum occasionally - once again, it takes a long time and the cut quality isn't that good.
What influences how well a machine will cut various materials is how stiff it is. What I've found from researching is that you want a stiffness in the 60k-230k lbf/in range to cut steel. Mori Seiki advertises their high precision machines are around 680k, iirc. For softer materials, I've read that the reduction in stiffness required correlates to the modulus of elasticity, so for aluminum you can be about 0.35x the stiffness as needed for steel, or around 20k-80k. My 4'x4'x6" wood router made from 80/20 extrusions (3060,3030 and 1530) and cncrouterparts.com components measures and models to be around 2k lbf/in which explains why it doesn't do that great cutting aluminum or steel.
CNC mill build thread: http://www.cnczone.com/forums/vertical_mill_lathe_project_log/110305-gantry_mill.html