When a continue statement is reached the flow of control jumps to the start of the loop for the next iteration.

var
   loop:longint;

begin
   for loop:=1 to 10 do begin
      if loop mod 2=0 then continue;
      writeln(loop);
   end;
end;

Will output 1 to 9, as the loop jumps to the next iteration if loop is an even number.

Source: Reserved Words

See Also:

break, exit, for, repeat, while.