ANy connection will work, regardless of whether its road, harbor or airport, and the continent is also irrelevant (in and and of itself, anyway). Road and airport connections always work (unless the road goes through territory of a civ you're at war with). Harbors need to be connected by coast initially, sea and/or coast with Astronomy and any water once you have Magnetism or Navigation. Note that you must be able to trace a visible (ie. not completely black) route between your harbors.