How to save games?

I am new to DS. Have download Super Mario, Mario Kart, etc to play. But... how do I save the games? When I exit Super Mario, it just says that all unsaved data will be lost if I choose to exit, but there isn't any option for saving??

If this is Super Mario 64 DS, I think you save after you collect a starman.

In NSMB you need to either finish a castle, or spend those large secret coins you find in each level to go to a mushroom (etc) house.

In Mario Kart, it auto saves and in Super Mario 64 (the one you might be talking about) you have the option to save after you get a star.