Can't save game?

Just got this today for my PS2. Go me.

Beat the arcade, got the points and unlocked Blackheart. w00t w00t but when I go to the icon to save, I hit X and nothing happens. Started hitting other buttons, and nothing. I shut it off to see if maybe it was an auto-save. No luck. Now blackheart is gone.

So how am I supposed to save my game?