How to save on Zelda Majora's Mask (VC)?

I bought the Legend of Zelda Majora's Mask (Virtual Console) from the wii shp and I don't know how to save the game. I just started playing and everytime I play I start back over on "the dawn of the first day". Is there any way to save? I tried the Wii Menu and Home Menu, neither one worked. Also this is NOT on an SD card, it's on the wii. Thanks :)