\documentclass{article}

\usepackage{subfig}

\newcommand{\myrule}{\rule{4cm}{3cm}}

\begin{document}

\begin{figure}[ht]%
\centering
\subfloat[][]{\myrule}%
\qquad
\subfloat[][]{\myrule}
\caption{Here are the first two figures of a continued figure.}%
\label{fig:cont}%
\end{figure}

\begin{figure}[ht]%
\ContinuedFloat
\centering
\subfloat[][]{\myrule}%
\qquad
\subfloat[][]{\myrule}%
\caption[]{Here are the last two figures of a continued figure.}%
\label{fig:cont}%
\end{figure}

For more examples on \texttt{subfig} see the manual.

\end{document}