Even if the ticket is non-refundable, you shouldn't have any trouble beyond a $100 change fee.

Just call Continental and have them change the MSP-ALB-EWR-MSP ticket to a MSP-ALB, EWR-MSP open jaw. They will reprice it and charge you the $100 change fee; you'll probably come out ahead with around $30 toward future travel.

The call center doesn't always offer the cheapest flights, so use the website to look for the cheapest itinerary that fits your plans, then call and ask for those flights. You can change all the flights on a ticket and still pay a single change fee.

If you don't call them and quietly miss the ALB-EWR leg, then they'll cancel the ticket. So make sure you call and make the change.

Of course, if it's refundable, you don't have any problem whatsoever. (Also, I think the people worrying about the voided ticket are thinking about missing a leg between stopovers, like the EWR-IAH part of an ALB-EWR-IAH-AUS routing or something, but that's not what you're doing.)