You need to explore your way around the world. You will most likely need ships that can traverse ocean squares for this, but that is not always be the case it depends on the map settings. Continents will certainly require it.
Keep in mind is that special maps might not allow you to travel outside the maps border and cross around from the west edge to the east. So play on any of the computer generated ones, rather then specific named ones.
Smaller maps is obviously faster to travel around but any size will do.