I won't be writting step by step instructions to model that part for multiple reasons. 1) That isn't the purpose of a forum to do your work for you... 2) can hardly tell full shape features from the image. 3) No dimensions
What I will tell you is you will have to use a Swept Blend in Creo to obtain that shape feature. The trajectory line will be an arc and then you must sketch individual sections to obtain the cross profile. If you have more detailed questions we would be happy to answer them.