You must only exit your game after losing all your lives and getting a game over screen. If you exit at any other time the game will not save your progress. When you want to continue your game, you must select "New Game" instead of "Continue," or else all game settings will be set to default (move guides will be on, the arcade cabinet artwork will show up on the sides, ect.). Change the game settings to how you desire, then go back and select "Continue." The game will resume where you last left off and you'll have the correct game settings!