[3 Edges] command generates a surface with 3 edges specified, which will be the 3 boundary edges of the surface. The second curve connects the 1st and the 2nd curve. Although these three curves usually make an open loop, they are able to make a closed loop.
For the prompt
"Specify curves"
, select three curves that make the edges one by one.
After the third curve is selected, the command generates a surface to append onto the document.