Hopefully this will make sense:
1. Start with 2 circles extruded into a cylinder.
2. From the front view create 2 equal ovals to extrude and cut out the sides creating the classic U-joint shape (Boolean Diff)
3. Don't forget to cut the hole using Boolean Diff as well.
4. Finish by running Fillet on edges you want rounded.

You should have something similar to the *second image.

5. From the Front view, copy the shape in place.
6. With the original still selected, use the Rotate command. Select the center of the hole from the Front view and rotate the object until it is vertically opposite the second piece - the holes will still be lined up at this point.
7. With the original still selected, use the Rotate command again but this time from the Top view. Rotate the object 1/4 turn.

You should have something similar to the *first image.

The center 4-way connecting rod can now be made by creating a new cylinder fit to one of the holes, copied and rotated, then connected via Boolean Union. Run fillet on intersections between the cylinders to smooth them out.

Hope that makes sense. Let me know if you want/need more info.