When you cross highways, one goes right over the other. However, they aren't connected. To do this, you need to use the onramps. Place the onramps on the corner L. Look at the big # below. It represents the highways crossing. Do you see what looks like the corners of L's? Place them there. It should look like the picture below when you're done.
Author: Maxis
Source: SimCity.COM
Formatted and Edited by (the Webmaster)