On of those perennial questions. I give my standard answer. Since this type of feature is not standardised in the Gerber format, it's a question of how to communicate information to the manufacturer. Usually, it can be done with a gerber layer such as ECO1 and maybe some extra text explanation.
You probably can't create square holes, but you can rout squares which will have a corner radius, that also may need to be specified on your drawing. There seems to be a convention that slots in copper areas are plated, and slots in non-copper areas are not plated.
Because a full answer requires details, and those depend on the manufacturer (which people invariably fail to mention), it's hard to give further advice. However, there is an interesting write up by the guys at OSHPark which is applicable to their service http://docs.oshpark.com/troubleshooting/cutouts-and-slots/