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For the end points of the arc, first select a point on the vertical axis above the origin (a C symbol will show), then select a point on the vertical axis below the origin. You should end up with the following:
To create the right side of the C-Mesh, click . Click the following points to create the rectangle in this order - where the arc meets the positive vertical axis, where the arc meets the negative vertical axis, then anywhere in the right half plane. The final result should look like this: