Hi Mati - the Extrude with path option is not what you want for this kind of shape because that particular method does not rotate the profile as it travels along the path.

The sweep tool is the one you want to use for making a shape that follows a path and also rotates with the path as the path changes direction.

In the sweep tool there is also an option to control how the profile rotates around the curve tangent as it moves along the path - you will want to set that to Twist: Flat for this kind of shape that you're doing.

See this previous examples of doing screw threads for some more explanation:
http://moi3d.com/forum/index.php?webtag=MOI&msg=767.2

- Michael