[Stiglr]

If you're talking about "cutting a door in the side of a car", then you're trying to cut an existiing shape, not draw a new one.

But, to answer your question anyway:
The poly tool will create the shape at the 0 line of the axis perpendicular to the viewport you draw it in. That's the "depth" if you will. You can then select it and move it wherever you want to put it.

I'm not exactly sure what you're trying to do, but you may want to get more familiar with the basic 3D concepts before you get too far into it. Frustrating answer, I know... I was exactly where you are now, once. But most of my problems were stemming from trying to build something before I had the basic concepts down.