continue is used in loops, it means start the next iteration of the closest loop.
Example:
Code:
for (new i = 0; i < 10; ++i) {
for (new j = 0; j < 10; ++j) {
if (j == i) continue;
server_print("j != i"); // this code won't be executed when j == i
}
}
return PLUGIN_CONTINUE means you're returning the value of PLUGIN_CONTINUE, which is defined on amxmodx.inc
The function provider will check your return value and act based on it. For instance, in most cases if you return PLUGIN_HANDLED it will block the default action.