At bottom of tutorial you will find link to download sample of this tutorial in .max, .3ds, .obj formats.
Step 1: From Create, Geometry create a Cylinder with the Radius of 1.5cm and the Height of 1.2cm. Changer the Height and Cap segments to 1 and the Sides to 70.
Step 2: To convert the cylinder to Editable Poly right click on the screen, select Convert to and click on Convert to Editable Poly.Step 3: In Selection rollout menu click on Vertex, select half vertices from the right and using the Select and Move tool move the vertices to the right about 8cm.
Step 4: Select the top and bottom polygons in Polygon selection mode.
Step 5: Click the little box next to Inset and inset the polygons with an amount of 0.6cm.
Step 6: In Edge selection mode select the two edges selected below and click on Loop.
Step 7: Chamfer the looped edges with an amount of 0.5cm and 12 Segments.
Step 8: In Vertex selection mode select the two vertices you see selected and click on Connect.
Step 9: Two the same think for the right vertices and for the other side vertices. You should repeat step 8 four times.
Step 10: Select the edge you see selected and click on Ring.
Step 11: Now connect the ringed edges with 1 segment and a Slide of -75.
Step 12: In Polygon selection mode select the polygons you see selected below and click on Detach. Rename the object to Cap or whatever you want and click OK.
Step 13: Select the new Detached object and using the Select and Move tool to the left. From the Modifier list add a Shell modifier and change the Inner Amount to 0.15cm.
Step 14: From the Modifier list add a Smooth modifier and check the box for AutoSmooth.
Step 15: Select the first object again, go in Border selection mode, select the border and click on Cap.
Step 16: In Polygons selection mode select the new caped polygon. Inset it with an amount of 0.15cm.
Step 17: Extrude the same polygon with an amount of 0.25cm.
Step 18: Inset the polygon again with an amount of 0.1cm.
Step 19: Select the two edges you see selected and click on Loop.
Step 20: Chamfer the looped edges with an amount of 0.01cm and 4 Segments.