Ok i did this on magento 1.6.2 (it may be different in your version, but likely not)
Firstly edit: app/code/core/Mage/Catalog/Model/Convert/Parser/Product.php
find:
if (in_array($field, $this->_systemFields) || is_object($value)) {
continue;
}
make it look like:
if (in_array($field, $this->_systemFields) || is_object($value)) {
if($field != "entity_id")continue;
}
This allows the exporting of system field "entity_id". To then choose it to export you can either just choose to export all fields, or make the following edit to add "entity_id" to the drop downs of selectable fields:
Optionally Edit: app/code/core/Mage/Adminhtml/Block/System/Convert/Gui/Edit/Tab/Wizard.php
find:
array_splice($attributes, 0, 0, array(''=>$this->__('Choose an attribute')));
make it look like:
$attributes["entity_id"] = "entity_id";
array_splice($attributes, 0, 0, array(''=>$this->__('Choose an attribute')));
Done.