Perhaps I'm the only person to encounter a problem with this, but I did solve the problem and for anyone else having similar issues I will explain the solution.
(Read the section in the chapter and attempt to replicate the object)
If you encounter problems try the following
Individually select each cross section and perform Model/Convert to Nurbs on each.
In the Object info palette, check/select the show direction box. Click on each cross section/Nurb to make sure the nurbs are all going in the same direction on each cross section.
Place a 3d loci at the corresponding corner of each Nurb/cross section.
Select the loft surface tool, apply the loft with no rail mode and select each loci starting at the bottom and working your way up? press enter.
In the Loft creation dialogue box, select create solid ? click OK
This should replicate the image in chapter 10, page 10 of the VW 11 users guide