There may not be explicitely a cylinder shown there but the built in help and tutorial shows you how to plot a parametric surface, a parabolic cylinder and surfaces of revolution, which should help get you starting.
Searching this forum brings up a few links which might be of interest to you:
http://communities.ptc.com/message/202454#202454
http://communities.ptc.com/message/165035#165035
http://communities.ptc.com/message/73592#73592
The easiest way to plot a circular cylinder sure is to use Mathcads feature to use cylindrical coordinates instead of cartesian. Next easier is the use of a simple parametric represenration - both shown in the attached file. You may also use CreateMesh, plot a matrix or do it by other means. It all depends upon your needs.
