Step 1: Set up your workspace by finding the little window control panel towards the top right-hand corner of your workspace (it should resemble the image on the right). Click on the square.  You should now be presented with four workspace boxes, representing perspective, top, right, and left views respectively.

Step 2: Click on the freehand tool in the main top toolbar (i.e. the icon illustrated here on the right), and generally just doodle around the perspective viewport a little.  Once you have done this, select the next box and repeat.  Do this for all the boxes and you should end up with big random white lines running all over the place.  Your objects box will show 4 distinct spline objects.

Step 3: We are done with the top, right, and left view windows, so click on the square-shaped icon in the perspective window once again to return the viewports to their original layout.

Step 4: Go back to the main top toolbar and click on the Loft NURBS object button to create a Loft NURBS object.  Then, by clicking & dragging, move all your splines into/under the Loft NURBS object.   Once you have done this, right-click the Loft NURBS and select 'Make Editable' from the dropdown menu that appears.   Now add a Bend and apply it to your Loft NURBS (Mode: Unlimited, Strength: 11, Angle: 8).   You don't, of course, have to have the exact same strength and angle as I do - feel free to play around as much as you like!

Step 5: You should now have your Move Tool out, so move your bend around until you end up with something that looks pretty.   Once this is done, add a Twist (Mode: Unlimited, Angle: 14), and move it about until you have a nice result.   Do exactly the same with a Bulge (mode: Unlimited, Strength: 1 or 2, Curvature at default). Finish your contortions off with a Formula (no settings on this one, just move it around until you see something that you like).    Aaaaannnd, FINALLY, add an Explosion FX, trying your best to move it onto a bulky part of your render.  Again, no settings are required for this part.  All this effort should get you something like my image on the left.  Now we can move onto the more difficult stuff...

 

Step 6a: Click on the little minus sign to the left of your Loft NURBS object to reduce the object tree, add a Null Object, and drag the Loft NURBS to the Null Object until the object tree looks something like this:

Step 6b: Reduce the object tree of the Null Object and, with the Null Object selected, press CTRL+C and CTRL+P on the keyboard to duplicate your Null Object and its underlying object tree.  Simple eh?   Now bring out the rotate tool and Move Tool and push around your Null Object copy until you are left with a result pleasing to your eye.  Press CTRL+P on the keyboard again and repeat this procedure a second time.

Step 7: Create another new Null Object (not a copy - a brand new one), and move all the other existing null objects underneath it, as illustrated in the example below.  Collapse the object tree on the new Null Object by clicking on the minus - this object should be labelled 'Null Object 3'. Now repeat step 6b with your new null object, but only using the rotate tool this time.  

Step 8: Create yet another Null Object (getting the idea yet?) and move all the other existing null objects underneath it, as illustrated once more in the example below.   You can now repeat step 7 with one more rotation or continue with your current model - its entirely up to you at this point.   

Step 9: Once you are happy with your model, zoom in and locate on the little triangle icon in the top left of the viewport window (its near the box icon we used earlier). Right-click on this triangle and zoom out to add perspective, as in my image on the left.

NB.  At this stage it may be relevant to mention that everybody gets different results with this tutorial, so don't get too hung up about it if your model doesn't end up resembling mine.   Hell, it might even look miles better in the end!

Step 10: Zoom back in... but slowly or you will lose sight of your model.   If you like your model at this point, then that is great - you can proceed to the next step.  Otherwise move your render to the left or right, but not too far, and it will look different.  To get an even better appearance you can then rotate it.   Copy and paste the object, move it to the opposing side, and rotate again if needed.   My example on the left clearly shows what can be done.

Step 11: This is where it can get fun!   Simply copy and paste a few more times, moving and rotating your models until you build up your scene.

At this stage the model is ready for the renderer, but more editing can be done at your leisure, such as adding HyperNurbs objects, materials, lighting effects, etc.    And, of course, you can import the final render over to Photoshop to add more detail and color.  Be sure to check out my Advanced 3D Abstracts tutorial for more detail on that side of things.    Here is my final render: