XBL Banjo Kazooie Question

[sega4life]

I never played the game until just now, well I played a little back in the day at my friends house but just ran around and stuff.. anyway..

I just got the XBL Game for free with reserved and was just checking it out for a few, got to the first wold and such decided to save, but there was no save, so I exited and it said saving on the left side of screen, then the end game cut scene popped up as if I failed the game...

 

So my question is, Is there a save feature in the game? Like after you get past a certain point? or is it a must start and finish game.