Everything's Hard, untill you know how...
Without a pic, can't be sure of your predicament Codar,
have you gone to Polygons->ToolOptions, and checked that Keep Faces Together is turned off?
As long as they're turned off, each of the faces has a gap between them - or what would be the 'valley' part of the gear; the low-spot between each tooth, as it were.
So, turn the option off, create a poly cylinder, scale it's 'height', so the gear's not too thick. Then just select all the faces around the edge, do a poly extrusion, pull them out with the blue handle, then scale with the red and/or green scale boxes to get the look you want.
If I recall, there's a tute around somewhere called "How to model a gear and render it with mental ray" or something like that. It's aimed at those that are new and learning - it's bound to describe it better than I have here.