Let $x \in C$, i.e. $f$ is continuous in $x$. We want to show that $$x \in \bigcap_{n \in \mathbb{N}} A_n \tag{1}$$
Let $\varepsilon>0$. By definition of continuity there exists $\delta(\varepsilon)>0$ such that for all $y \in \mathbb{R}$, $|y-x| \leq \delta(\varepsilon)$ $$|f(y)-f(x)| \leq \varepsilon$$
Now let $u,v \in \mathbb{R}$ such that $|u-x|< \delta(\varepsilon)$, $|v-x| \leq \delta(\varepsilon)$. By triangular inequality:
$$|f(u)-f(v)| \leq |f(u)-f(x)|+|f(x)-f(v)| \leq 2 \varepsilon$$
In particular we can choose $\varepsilon := \frac{1}{2n}$, then $$|f(u)-f(v)| \leq \frac{1}{n}$$ for all $u,v$ such that $|u-x|< \delta(\frac{1}{2n})$, $|v-x| \leq \delta(\frac{1}{2n})$. Now choose $j(n) \in \mathbb{N}$ large enough such that $\frac{1}{j(n)} \leq \delta \left( \frac{1}{2n} \right)$. Then you can easily see that $x \in A_{j(n),n}$. This works for all $n \in \mathbb{N}$, so $(1)$ is proved.
Now let $x \in \bigcap_{n \in \mathbb{N}} A_n$. We want to prove that $f$ is continuous in $x$ (thus $x \in C$). Use the definitions and similar argumentation as above (So let $\varepsilon>0$. Then there exists $n \in \mathbb{N}$ such that $\frac{1}{n} \leq \varepsilon$ and since $x \in A_n$ ... )