Is there a way to have continuous footnotes on a 250 page report without linking pages.

The following approach adds a prefix number before each footnote number, which works across Stories and Book files--not exactly pure sequential like JennyO needed, but probably easier than the other tips in this thread.

1) edit the Footnotes Paragraph Style: under Bullets & Numbering select "Create New" under the List menu and name it Footnotes, then choose Numbers for List Type and Numbering Style format;

2) select "Chapter Number" using the flyout menu triangle beside the "Number:" field-- or type it manually including a hypen or period as a separator, so the final Number field would be ^H- or ^H.  , (becoming such as 1-5 or 3.9, for example). 

When using in a Book, choose Update All Numbering from the flyout menu to ensure the numbers reflect their respective sequence.