Here are the steps,
First of all, select a plane and click sketch.
create a 2D curve and exit the sketch
Select another plane,
and create another 2D curve "within" the boundaries of the previous sketch.
By doing this, you have sketched the projections of the 3D curve on two planes.
Next go to surfacing tab, click on cross button and select the first curve. (no matter about who will be first)
Select the other one,
and there you are. You have created a 3D curve.