Well first off you close Blender because you don't make splines in Blender.
Open up a spline in Notepad and you'll see it's just a plain-text file. The only tutorial for making splines has unfortunately disappeared from the internet, so without me writing another (it's on my long list of tutorials to write) I can't link you to one.
You could have a look into using the Spline Creator (Website seems to be down right now) to make splines. It's quite handy to see a visual guide on what you are currently trying to make.
The whole program is in German unfortunutely but there are videos on how to use it.