My furnace is wired through a nearby outlet box. Can I create a male to male extension cord to connect my generator to the outlet box? I assume I would also have to open the fuse at the fuse panel.

I actually can't believe people still would consider using a male-to-male suicide cord, with the plethora of transfer/interlock devices available. :(

NO, you CANNOT use a male-to-male cord to do this!

Male to male cords create an exposed live wire on the hot prong end for you to electrocute yourself on. DON'T DO IT!

No, it is unsafe and illegal. To connect to your home, you will need a transfer box that cuts off all current to the street before the generator kicks in.

If this is an emergency you will need to open the junction box and connect the cord to the wires feeding the furnace. At least you have power to the furnace and have not created any safety issue with the power on exposed male plug.