Cut squash in half lengthwise; remove seeds. Place squash, cut sides down, in a shallow pan; add hot water to pan to depth of 3/4". Cover with aluminum foil, and bake at 400° for 40 minutes or until tender; drain. Scoop out pulp; mash. Discard shell. Cook carrot in boiling water 25 minutes or until tender; drain and mash.
Combine squash, carrot, chicken broth, and next 3 ingredients in a bowl. Process half of mixture in a food processor or blender until smooth. Repeat procedure with remaining half of squash mixture.
Place pureed mixture in a large saucepan; bring to a simmer. Stir in cream; return to a simmer. Remove from heat. To serve, ladle into individual bowls. Sprinkle with pecans and nutmeg.