how do you save?

Just a guess as I don't have the VC version, but if it's the same as the NES original, you can't.

Technically, you can save your progress if you're playing on a Wii. It's just not exactly a "legitimate" method. Whenever you use the remote to go back to the console's menu screen from a Virtual Console game, a save state will be created. The next time you load the game, you'll resume at the exact spot where you stopped playing.

In my opinion, you shouldn't resort to this unless you absolutely have to as it wasn't intended by the original creators.

Well, I have the NES version of this game but I can't save the game. Every time I turn the game off, I always have to start over everytime I play again.

If it's on NES, I don't know. If it's on the Super Mario 3 game Wii channel, just go to the Home Menu (accessed by the little house button between the + and - buttons) and select Wii Menu. Click Yes and you get whisked to the Wii Menu, and your game get saved for you.

just use an emulating software such as nestopia on your computer and you can have save states.

You can save on the SNES Super Mario All Stars version.

Just turn off your screen for nes. I remember I had to do that when I went to school. I use to play the heck out of it. Lol.