A couple of steps for doing the revolve: See that curve that Tony highlighted in yellow above? Get rid of everything else except for that curve (select all the other objects and then use delete).
Now to create a revolved surface from that curve. To do that select the curve and then run the Construct / Revolve command.
Now MoI will ask you to pick 2 points in sequence to define the revolve axis. In this case you want to pick the 2 points to form a vertical line in the Front view, this means that your revolve axis will be going in the world z axis direction. This will create the surface that Tony showed above.
Revolve is generally your best tool for making cylindrical type shapes.