It simply saves your current level-sadly,no scores.
You should be asked automatically if you want to save after you've run out of credits or let the time to continue run out.
It also asks you by itself if it shall load if there is a save for the current game.
To access all save data,keep all 4 buttons on your pad pushed and press the reset button.
you also have to make sure it's pushed all the way in glee . i kept playing SS2 over and over again from the very beginning cuz i didn't have the card pushed in all the way oh_no