Basically it's just a linked chain that has variable width dependant on pen pressure and follows the direction you're drawing in, so it remains unbroken (provided you don't vary the width/pressure excessively and avoid 'sharp turns' with the pen/mouse)
Made in CS3.
Found the solution. You need to go into Brush Settings, click on Shape Dynamics.
In Shape Dynamics, Open up the Angle Jitter Control and choose, "Direction" (the last on the list. Now it should work perfectly. If there's too much space, just go into Brush Tip Shape and adjust the spacing. Hope this helps!