Two ways:
select the curves in order and then loft creating one surface.
select surface 1 and then surface 2 and use Edit Surfaces->Attach Surfaces. Then without deselecting select surface 3 and repeat.
The number of sections needs to be the same for this to work.
hope this helps,
ww
"It's lonely at the top, when there's nobody on the bottom"... Rodney Dangerfield