To expand on what's been said above.
From my manual -
The SAVE/LOAD Feature
Saving Your Game
1. Press RUN to pause the game.
2. Use the Direction Key to move the red arrow to choose among the three red Files for save.
3. Press Button 1 after choosing a File. The game is now saved and you can resume playing game.
*You have three spaces in which you can save games in progress. It is important to save often since you only have one life to use in the game. If the game has not been saved and you lose you life, you will need to start over at the beginning of the game!
Loading a Saved Game During the Game:
1. Press RUN to pause the game.
2. Use the Direction Key to move the red arrow over and down below three blue Files.
(Note: A disk with an X instead of a number means it is an empty spot, and there is no saved game present).
3. Press Button 1 to continue the chosen game from the point that the game was last saved.
At the Title Screen:
1. Use the Direction Key to move the flashing arrow down to the desired saved game.
2. Press Button 1 to confirm.
There was a site with manuals to download (Dritz, you still around?) but it has dissapeared. I have them backed up on cd and if someone wants to take it upon themselves to continue this project I'd be happy to help out. If I remember, I'll put a link here to the Beyond Shadowgate manual in PDF form tomorrow.
Hope this helps! If you need any other help just let me know.