Start by selecting the Rectangle Tool (M) and drawing a rectangle with a 4 pt stroke. Ensure that you are using a light color for the stroke so you can see what you're doing when you apply the 3D effect. Do not apply a fill to the rectangle.
Go to Effect > 3D > Extrude & Bevel. Give your shape a rotation for the X, Y and Z axis' and an Extrude Depth of about 16. Click OK. Copy and paste this shape to use for the next step.
