It depends on the particular game mechanic, which is why I'd rather not surface this more.
What you are talking about is the game rules definition of continents, which determines continent based wonder effects but more importantly AI behaviour.
By basic game rules, every continguous land mass (even islands) are considered their own continent. However, for gameplay purposes, the American continent is divided into North America and South America (should be self-explanatory) and the Eurasiafrican continent is divided into "Europe", Sub-Saharan Africa, South-East-Asia, Denmark, and Scandinavia.
Things should fall into place when you understand what "Europe" is: it includes the geographic definition of Europe, but also the Middle East including Persia, Egypt, and Nubia, as well as Urals, Siberia, and Amur, but not Denmark and Scandinavia. The reasoning is easiest to follow if you ask yourself "should the AI walk a settler/army there or ferry it with ships".
The remaining continents are what is left over of Asia and Africa. I think that is the context in which I said it is straightforward. You can infer the other continents once you understand "Europe".