You cannot create the three level nested repeat region in one go. Neither the wizard or server behavior allow this. Instead, you must combine the action of the two: the wizard can generate the first two levels automatically, and the third can be added afterwards through the server behavior.
To start creating the listing of continents, countries and cities, follow the next steps;
Open the site index in Dreamweaver.
Apply the Create Nested Repeat Region Wizard from the MX Kollection tab of the Insert panel.
Configure the wizard's first step as follows:
Select the existing Dreamweaver database connection to use (connNestedRepeat)
For the master table, select continent_con, with the id_con column as primary key and the name_con column as the label column. This way, the continents will form the first level of the region.
For the detail table section, select the country_cnt table. The foreign key to the continents table is idcon_cnt, and the column storing the labels is name_cnt.
When all settings are set right, you can click
the Next > button to advance through the wizard.

In the second step of the wizard, you must decide on the region display type for the lower levels:
Sub-table : all records on the second level are shown on a separate row, below the master element and indented.
List: detail records are shown in an adjacent column, as comma separated values.
Because the list will actually grow one level, select the sub-table option.
After you've finished configuring this step as well, click the Finish button to close the wizard and add all elements into the page.
At this point, the first two levels are correctly
retrieved and displayed from the database:

Now all that remains is to add the third level: the cities for each country. To do so, you must first create a recordset that retrieves all cities:
Click the Plus (+) button of the Server Behaviors tab and select the Recordset (Query) option.
In the dialog box that opens, select the city_cit table as source data, and set it to retrieve all fields.
To make the recordset available to the Nested Repeat Region server behavior, the recordset must be filtered: the foreign key (idcnt_cit) must equal the entered value: 123456789.
When you're done configuring the recordset,
click on OK to add it to the page.

Now you must create the placeholder for the region's third level. Right-click in the table's last row, and select Table > Insert Rows or Columns. Add one row below the current selection.
Drag and drop the name_cit field from the recordset rsCities displayed in the Bindings tab of the Application Panel in the newly created row. This is done as it is the label for the third level entries.
At this point, the Dreamweaver
page should look like:

Select the <tr> tag on the last row, and apply the Nested Repeat Region server behavior: the Server Behaviors tab >+>MX Kollection>Dynamic Lists > Advanced.
In the user interface that opens, you must configure the master and detail recordset to use :
For the master recordset, you must use the one generated by the Nested Repeat Region and which retrieves the country list. Since the countries are in fact level 2 for the wizard, the recordset name starts with detail and contains the table name. (detail2country_con)
Next select the primary key of the master recordset.
For the Detail recordset, select the one you've
created at step 8 (rsCities).

When you're done configuring the server behavior user interface, click the OK button to apply it to the page.
Once applied, a new nested repeat region translator is displayed, surrounding the table's last row. This means that the operation was a success.
The only thing left to do is save your work and
upload the entire site to the server. Then preview the site index, and
see how the cities are now displayed as yet another table row, just like
in the image below (the cities are displayed in bold):

To further improve the nested repeat region, you could display the cities with some more indentation , in order to better differentiate from the other elements, or display them inline, by applying the Nested Repeat Region on the <td> tag instead of the <tr>.