how can i save?

[hamsterofdeath]

in the menu, there is only load, exit and retry?

[The Eternal Noob]

There are save points shaped like a swan dotted about the place.

[darrcy]

you have to play quite a while before it lets you save. You will be able to save when you can sit on a swan like mentioned above. The first time it lets you save is after you meet Genocide Jack.