sure that the curves are connected together and they can be in 3D space. See a small
example below. When the number of sides of the surface are more than 4 , you can use
this option.
See the 5 curves above. Go to 
Select the curves in the sequence as shown in the first figure.
Now you have the result as shown below. You can set the boundary conditions, for e.g.: Tangency, Normal, Free etc which I am not going to explain here.
