hi! you'll find some previous discussions on the naming of continents in the FAQ*

The number and names of the continents

*see the link on the sidebar or the wiki tab

The names of the three "original" continents are from Latin: Europa, Asia, Africa. The names of the other continents, which were all discovered by Europeans later, were modeled after these three.

I don't think it is known why the three Latin continents are all female, except that most geographical names in Latin are female (examples: Italia, Gallia, Germania, Britannia...).