You're browsing the GameFAQs Message Boards as a guest. Sign Up for free (or Log In if you already have an account) to be able to post messages, change how messages are displayed, and view media in posts.
Press "Start" to pause the game. Using the left analogue stick, highlight the "Save" icon on the circular interface menu. While still holding the cursor over the "Save" icon, press X. When it asks you where you want to save, select one of the 4 save/load icons that appear on the right hand side of the menu. Hold the cursor over your selected icon and press X.