I am learning how to continental knit..I have finally learned how to hold the yarn, but do I let go of the yarn when I turn the needles and start over?
You can - it may help you position your hands for the next row. But you don't have to, whichever feels right to you.
Hi and welcome to knitting and to KH! There are videos under the Free Videos tab that may help including one that shows cast on and several rows of knit stitich for continental knitters. I find them very helpful.