Hey Duke,
Here is a very good tutorial dealing with the manipulation of splines and CP's.
Basic Splinemanship I
It's for a much older version of A:M, but the concepts and rules are all pretty much the same. If you read through, there is a great explination of how to connect CP's
Hope this helps.
(Basiclly, if you left click and hold a CP and drag it on top of another CP, before you let go, right click. This joins the CP's.)