Cut squash in half and take the seeds and strings out. After you do that I like to put a little butter where the seeds were. Place in an oven-safe pan (I like to use a 9x13" pan) and cover with aluminum foil. Bake it for 1.5 to 2 hours until its good and soft. Once its done take it out of the shell and put it in a bowl.
Sautee' onion in the butter until soft. Add water, chicken bouillon cubes, salt, pepper and marjoram. Let it boil until bouillon is dissolved. Add the squash and the Cayenne pepper to it and let it simmer for a little while. Stir often to prevent burning.
Puree'Soup mixture and cream cheese in a food processor or blender in batches until smooth. Serve with a dollop of sour cream and top it with chives.