Continuous Members are exactly like "Normal" members except they automatically connect to any nodes that they pass through. These are often referred to as physical members because they are used to model a single continuous member.
They can save a lot of time during modelling since members don't have to be split up into multiple members in order to properly connect nodes within the span of the member. See the video above for a demonstration on this concept.
To create a "Continuous Member" in this way, it is as simple as choosing the Member "Type" as "Continuous & Normal" which is show in the image below: