If you want something looking just like the figure you posted, you'll be wanting to use patch(), I suspect. The following might be a starting point (stealing Jarrod's x/y/z source data)...
close all
t = 0:0.1:pi;
x = sin(t);
y = cos(t);
z = t+0.1;
for n = 1:length(z)-1
x1 = x(n);
x2 = x(n+1);
y1 = y(n);
y2 = y(n+1);
z1 = z(n);
z2 = z(n+1);
p = patch([x1 x2 x2 x1], [y1 y2 y2 y1], [0 0 z2 z1], [0 1 1]);
set(p, 'LineStyle', 'none');
plot3([x1 x2], [y1 y2], [z1 z2], 'b-', 'linewidth', 3);
hold on
end
view(3);
light
use image() to lay down a photo on the axis, first, if you want. look at light() if you want to make it look slicker. for annotations as shown, you'll need text() as well.
