Yep, that would be the easiest and fastest way to do it, seperate the continents, convert them to buttons or movieclips, and target them with event listeners.
e.g.:
africa.addEventListener(MouseEvent.CLICK, africaDialogShow);
function africaDialogShow(e:MouseEvent):void{
//show africa's dialog...
}
Or another way is to seperate the continents, convert them into buttons/movieclips and then target all of them with event listeners which are calling the same function.
africa.addEventListener(MouseEvent.CLICK, continentClicked);
function continentClicked(e:MouseEvent):void{
switch(e.currentTarget.name){
case "africa":
//show africa dialog
break;
case "europe":
//show europe dialog
break;
}
}