Most VC games automatically save, if you just hit home anytime during the game and exit the game when you load it back up it'll be at the same spot, hope that helps
He's talking about saving a game so that if you die, you don't have to start from the beginning, rather the place you saved at. It doesn't work for most NES game, only N64.
Thanks for the input guys. I did know about hitting home to finish a game and then pick up where I left off but I just hoped there was a proper save system. Never mind...