Since Mexico City is your first stop in Mexico, you'll clear Mexican immigration at the International terminal from your Continental flight.

I suspect that since your connecting Aeromexico flight is a domestic flight, you'll probably have to collect your bags in Mexico City, go through customs, then hike to the domestic terminal to recheck them. There are licensed porters waiting for passengers as they come out of the international arrivals customs area; pick one, let him load up your bags on his handtruck, and tell him you want to go to Aeromexico. Tip the porter a dollar or two a bag (US currency is fine for this purpose but not coins since they can't be easily exchanged).