Instructions
Go to the "Build" mode. You will see the city on the bottom half of the screen as a series of colored grids. Select the transportation section; this will be the second icon from the left, and will feature an image of a road. This section will include many methods of transportation, including railways and (later in the game) highways.
Select the "Road" option. You can also connect to your neighbors using railways and highways, but a simple road connection will suffice to make connections with neighboring cities.
Create your road; you can create either a curved or straight road by guiding the Wiii remote where you want to road to go. Drag the edge of the road past the edge of your city's map, and release.
When prompted to make a connection with your neighboring city, select "Yes." The image on your side of the city will show a road that does not stop at the edge of your map; there should be two-way traffic on this road. You can connect to other cities on each edge of your map, depending on the terrain.