Create a circle
Use the Shape > Cylinder tool to open the Cylinder Options dialog. Set the parameters as follows:

Name: tube
U Step: 10
V Step: 1
Revolution: 360
Radius: 10
Length (z): 40

Click the OK button to accept.

Extrude the circle along the path
With the circle selected, hold down Command + shift and select the spline to add the spline to the current selection. Click on the Shape > Path Extrude tool. The circle will be extruded along this spline.

NOTE: The new tube is now called Path Extrude.

Use the Edit > Hide Selected (Command-3) menu item to hide the extruded object.

Unlock Spline
Open the Object Info dialog (Command-I). From the Object Selector pop-up menu, select Spline. Click on the Locked check box to unlock this object.