Is it possible to connect each of the houses with the well, the barn, and the mill, so that no two connections intersect each other?

No, it is impossible. Here is a convincing, albeit a informal proof.

Imagine the problem is solvable. Then you can connect House A to the Well, then the Well to House B, then House B to the Barn, then the Barn to House C, then House C to the Mill, and finally the Mill to House A. Thus, you will create one loop with 6 points on it, such that houses and non-houses are alternating along the loop. Now, you must connect Point 1 with Point 4, Point 2 with Point 5, Point 3 with Point 6, such that the three curves do not intersect each other. However, you can see that you can draw no more than one such curve neither on the inside, nor the outside of the loop. Therefore, the task is indeed impossible.

More rigorous, mathematical proof can be made using Euler’s formula for planar graphs. We have that F + V – E = 2, where F is the number of faces, V is the number of vertices, and E is the number of edges in the planar graph. We have V = 6 and E = 9, and therefore F = 5. Since no 2 houses or 2 non-houses can be connected with each other, every face in this graph must have at least 4 sides (edges). Therefore, the total number of sides of all faces must be at least 20. However, this is impossible, since every edge is counted twice as a side and 20/2 > 9.