Deepwater Harbours are an unusual Civ3 feature that allows sea to connect directly with land. This effect was pioneered by Shay Roberts in the Age of Piracy scenario. When used in conjunction with ships having the wheeled unit attribute, and coastal tiles being forbidden to wheeled units, this can allow direct sea lanes between cities where the AI will stick to the intended route.
With the map tab open, press T to select terrains. From the drop-down list, select Sea, and then check the "Deepwater Harbour" check box (you can also make a landmark deepwater harbour if you like). Then click on a coastal tile on the map. You'll get a confirmation pop-up that a deepwater harbour has been created, or a notice that you can only create deepwater harbours on coast if you clicked on a different terrain. Thereafter, the terrain will continue to appear as coast, but if you click on it, you will sea that the terrain is now Sea (or whatever name you've given Sea/Landmark Sea). You now have a deepwater harbour!
I recommend adding a resource that visualizes the deepwater harbour on the map, as it can be easy to forget where your deepwater harbours are.
It's also advisable to add deepwater harbours at the end of scenario editing. Firaxis's editor will not respect deepwater harbours, and doing any further editing in Firaxis's editor will result in your deepwater harbour being ruined. This editor will preserve existing deepwater harbours, but editing the tiles directly around them can get tricky. Some editing will result in the graphics being off, some won't be possible because the editor will think that those tiles shouldn't border each other, and some will work as expected. If you want to edit the tiles around a deepwater harbour, you should change it back to coast first, do the modifications, and then change it back to a deepwater harbour.