You can prove that $\{y=x\}$ and $\{y=-x\}$ are connected. Since they have a point in common, their union is. Can you try to argue this is the same, in essence, than showing the real line is connected?
First, let's obtain a slightly more useful equivalent to your definition. First, if $A,B$ are open sets and $A\cap B=\varnothing$, then they are separated. Now suppose $A,B$ are separated sets, and $C=A\cup B$. Then $C\setminus \bar A$ and $C\setminus \bar B$ are relatively open in $C$. But $$(A\cup B)\setminus \bar A=B$$ since $B\cap \bar A=\varnothing$. Thus $C=A\cup B$ and $A,B$ are relatively open in $C$. We can then just say that a set $C$ is disconnected if it can be written as the disjoint union of relatively open subsets of $C$.
Now, suppose $f:C\to C'$ is continuous and onto. If $C'$ is disconnected by $A,B$, then $C$ is disconnected by the open sets $f^{-1}(A)$, $f^{-1}(B)$. Thus, by the contrapositive, if $C$ is connected, so must be $C'$. That is, the image of a connected set under a continuous function is connected.
Now consider the function $f:\Bbb R\to\Bbb R^2$ given by $f(x)=(x,x)$. Then your set is $f(\Bbb R)$. I hope you know that $\Bbb R$ is connected. You should see $f$ is continuous: $$\lVert f(x)-f(y)\rVert^2=2(x-y)^2$$
so if $x$ and $y$ are close, so is $(x,x)$ and $(y,y)$. Thus, $f(\Bbb R)$ is connected.
It is also true that the union of connected sets with non-empty interesction is connected. And one can prove it as follows. First, we prove that $C$ is connected if and only if the only continuous functions $f:C\to\{0,1\}$ $-$ where $\{0,1\}$ is given the discrete metric (topology), that is, all sets are open $-$ are constant.
If $C=A\cup B$ with $A,B$ open, then we can define $f(a)=1$ when $a\in A$ and $f(b)=0$ when $b\in B$, to get non constant continuous function $f:C\to\{0,1\}$. Conversely, if we had a non-constant continuous function $f:C\to\{0,1\}$, we could write $C=f^{-1}(\{0\})\cup f^{-1}(\{1\})$ where this two sets are open and disjoint.
With this out of the way, suppose that we have a collection $\mathscr C$ of connected sets, and they have a point in common, call it $c$, that is $\bigcap\mathscr C\neq \varnothing$. Consider a continuous function $f:\bigcup \mathscr C\to \{0,1\}$. We will show that $f(x)=f(c)$ for any $x\in\bigcup\mathscr C$. Indeed, pick $x$ in the union. Then this belongs to some of the sets in the collection, call this set $C_x$. Then $f$ as a function from $C_x$ to $\{0,1\}$ is still continuous, so, since $C_x$ is connected, it must be constant. But $c\in C_x$; so we must have $f(x)=f(c)$. Since this $x$ was arbitrary, the claim follows.