Three ways:
1. You can apply a XForm on top of your spline, activate the XForm by clicking on it or pressing 1, and rotate the XForm gizmo until the orientation is correct. By far the quickest way, and will honor the pivot set on the shape.
2. Rotate the bolt profile within it's sub-object. Go to Segment in the Selection rollout, select all, and rotate. If your part is not centered to its axis, it may be offset. In this case, a quick way is to make sure its located at 0,0,0 in the world; change the transform location from "Use Pivot Point Center" to "Use Transform Coordinate Center", this selection is located right next to the Reference Coordinate System dropdown at the top. Then rotate in the sub-object mode.
3. Or if you need more control within the Loft compound object itself, open up the Deformations rollout, click on Twist to turn it on. You'll get a Twist Deformation window that pops up, where you can set the in and out rotation. This allows you to orient it any way you like. If the circle isn't completely flat for example, this allows you to tweak anywhere along the path.
