Assuming you're using Solidworks?
Create your square profile in a sketch. In a new sketch, create a circle on the same plane. The circle can be tangent to the edge of the square but I don't think it would matter.
In the 'Features' menu or ribbon, under 'Curves' you'll find the 'Helix and Spiral' command. Click on this command and then on the circle sketch you created. From here, you can adjust the parameters of the helix/spiral as you wish (pitch, number of revolutions, clockwise or counter clockwise, etc.)
Once you've established your parameters, click ok and you should see a helix in the graphics window.
Now use the 'Swept Boss/Base' command on the 'Features' menu. Under the 'Profile and Path' parameters, Select 'Sketch Profile' and use the square sketch you created earlier for the Profile by simply clicking on it in the graphics window, then for the path, select the helix by once again clicking on it in the graphics window.
This should give you a preview of your part. Click ok and you should have it! Edit any parameters necessary to achieve the desired result.
Presto!
I hope you can make sense of this explanation, I'll try to clarify if necessary.
Cheers.
