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The saving system is a pain. There's no confirmation or indication that the game is being saved. There's no overt method of initiating a save.
It's supposed to ask you where you want to save the game when you first start playing the game. You select it and whenever you're done with the level or have purchased an item, it will autosave.
The best thing is to finish the first level and then quit and go back and see if you can load a game.
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