Hey, can't see no screen shots, but i can make a stab at what the problem mite be.
The default settings for the extrude face tool is to NOT keep faces together. And if i remember correctly u need to extrude the fingers from two adjacent faces. yes? if thats the case then each of those fingers will have an extra set of faces running down the middle of the fingers.
Following so far? So when the smooth is applied it treats them as two seperate fingers cuz the geometry aint linked, smoothing around both.
It easily fixed. Select each 'single' vertex, one at a time, around the finger. do it by clicking and dragging to make sure you select the 'double' vertex at ech point. Then just edit polygons->merge vertices, like kurt shows u in the tutorial.
Now smooth again.
Hope that helps. If not, post a non-smoothed poly and sub-d version of the hand.
Its exactly the same problem i first had when i smoothed my hand!
For future reference, if u go to polygons->tool options, u can turn on keep faces together.