this is how i do it:

when you initially make the Nurbs square, set the Degree to 1.

then start attaching the first 3 curves with the following options:
- attach method: connect
- multiple knots: remove
- keep originals OFF.

select the LAST curve and do a reverse curve direction.

now you only have the last curve to attach, but before you do, delete the history of all 4 curves.

select the last curve, THEN the main curve that you have attached and press the Attach Curve command, now you have a closed single nurbs square.

delete all history of the newly attached curve.

go into CV mode and youll see extra cvs lying around, you should delete them, but you dont have to.

hope this helped