The following is based on my limited knowledge so don't laugh if you think I'm an idiot and I should have known about this ;)
One of the great things about the CQWB is it's ability to show parts of lists and libraries from other sites. One of it's drawbacks is it's a bugger to format.
Using Sharepoint Designer you can create a dataview webpart to also connect to a list which is much easier to format. The problem I had was you could only use it in the site it was created in.
Not any more!
Today I read a tip. Rather than connecting the dataview to a list on the site you are connected to, goto a different site and use the 'connect to another library' to make the list available to that site.
Now after you export the webpart it works on anysite!