I am not really sure if I framed my question correctly.
What I basically want to do is like in Autocad, where we use the bpoly command to convert into regions before extruding them. The same thing, except in Illustrator.
Please follow the link to better understand the Region command in Autocad
The Pathfinder panel is your friend here.
Experiment with Unite and Minus Front for combining shapes and subtracting areas from other shapes.
The shape shown in your link is a compound path (an object with holes in it) and will extrude as such.
Note that Pathfinder works best with filled, closed paths.