Problem with modeling

Hello, I’m new guy in blender program. I found great tutorials here: http://www.blendercookie.com/getting-started-with-blender-modeling/

But in that video I have one problem, I can’t do same as showed in ~6.50-6.55min
Can you help me? When I’m trying to do the same as showed, the cube for me splits.

Are you in ‘edit’ mode and did you hit ‘E’?

Here’s a tut I did on just Extruding.