n8thegr8,
I think you missed the point of the help docs that MSPBenson was talking about. The sweep feature his very specific how and in what order the line/curve elements are selected. Pay close attention to the cue line too, it will pretty much walk you thru it, but in a nutshell:
select swept
select the guide cure, the curve that runs between the two ends.
Then 'ok', unit the cue line asks for the first section line. Then 'ok' until the cue line asks for the second section line.
The draw back to this type of swept is the resulting solid is quite liner, in other words, the surface probably won't be tangent to the adjoining surface at either end. To accomplish this you'll probably have to add additional guide strings.
Good luck
Mama's don't let your children grow up to be aerospace tool designers...