This is quite simple. Every time you sail into a new country you have to approach one of the ports of entry[1]. This has to be the first place you visit and there you can arrange all the formalities (customs, immigration, health, depends on a country). Afterwards you are usually free to visit any other harbour in a given country. Rinse and repeat for each country that you visit.

http://en.wikipedia.org/wiki/Port_of_entry