I am playing and have no idea how to get into the main menu to save the game. How can I do that? Obviously I'd like to save my progress at some point so I don't lose it.

Saving is automatical, there's no manual saving.

edit: from the manual - "Your progress through the game — including unlocked story chapters and bonus points — will be automatically and transparently saved on your hard disk each time you see a red icon in the upper right corner of the screen, provided you have not disabled the AutoSave feature in the Options Menu. When you select Continue from the Main Menu, the game will load from the last save point of the current Profile."