Hi Kanonfodder, hi folks.
To add to Gaieus's post, the lines must also be in the same context. For example, if 3 lines of a rectangle are in a group and the fourth line is outside the group, even if the endpoints are connected and the lines are coplanar, the face will not close.
As for drawing curved surfaces like screws, you need to approximate them with a serie of faces that are all connected by common edges. Smoothing theses common edges will give the appearance of a curved face. Practice with a simple cylinder to get an idea. Draw a circle and pull the circular face to get a cylinder. If you show the geometry that is normally hidden, you will see that the cylindrical face is composed of rectangles that are arranged in a circular array. Each of the edges that are common to two rectangle is smoothed. Try to unsmooth theses edges. You will get a rough looking cylinder. Smooth them back to see the nice smoothed look reapears.
Read the help about smoothing edges.
Search the forums for screws, helix, spiral, etc.
Just ideas.