Steve:
You define the shape with a 'hole' in the middle and loft the whole
shebang. There are a number of ways to loft a shape with a hole part of the
way through. The simplest is to loft two shapes, one with the hole and one
without.
After reading your next message, you can still loft the shape with the hole
in it and you can place the hole on a deformed path along with the rest of
the shape.
In 3D Studio, easiest way for a hole going through the cube, is to
build a square in the 2D Shaper, put a circle (or whatever shape)
inside it, and bring both into the 3D Lofter and extrude (Bevel
straight back) to the height (depth) you want.
If you want to only go partially through, then you need to manually add or
delete faces to cap things off where you want.
If you want to deal with more complex objects than your examples, since
there is no drill function in 3D Studio v.1.0x, you can either model in
AutoCAD 11 (use AME for booleans), or manually edit those faces as above.