If your section is constant (it appears to be from your screenshot), try Insert -> Sweep -> sweep along guide.... If the section is not constant (or you need more options) try Insert -> Sweep -> Swept....
For the screenshot shown, I'd use the sweep along guide; one guide string should be sufficient as there does not appear to be any twist in your transition.
To meet Ricky's complete criteria you will need to use 'Swept' since it can have multiple Sections and up to 3 Guide Curves, while 'Sweep Along a Path' is limited to a single Section and a single Guide, which while it might cover some cases, is not general enough for the long haul.
John R. Baker, P.E.
Product 'Evangelist'
Product Engineering Software
Siemens PLM Software Inc.
Industry Sector
Cypress, CA
I agree that swept would be better suited to the question as stated, but based on his attached screenshot it appears that sweep along guide would work (assuming the section stays constant and there is no twist or elevation change as it goes 'round the bend').
The major difference between "styled sweep" and "Swept" is that the Styled sweep will attempt to create an as "simple and clean" surface as possible whilst the "Swept" will attempt to create a swept solid or surface the fulfills the input, even if the input is poor. ( It can then return a poor surface.) If the input is poor for the Styled Sweep, it will not create any surface. The aim for the Styled Sweep is to create surfaces that qualify as class A.