It does not seem possible to save the game after each level. I have..

Here's how you save your progress.

First, make sure you have a memory card inserted in the first memory card slot on the PS2.

Next, after you have finished a mission, go back to the main menu. Then, go to down to the code names option.

Finally, scroll down to the save code name option. It will ask you if you would like to save your progress.

Say yes and you have saved your mission and stats, etc.

Hope this helps!

Alright fairy it seems that I didn't fully understand your question the other day, but now I have the right answer so just forfiet what I said in my first answer.

Here's what you really should do: Make sure you have a memory card inserted.

Then when you go to play nightfire missions( this is where you messed up) do not press "Play Without Saving" because duh, you won't be able to save!

Instead press the "create codename" option then type in the name of your codename.

Afterwards the codename will be saved and each time you want to play the missions and save select the code name and it will automatically save it for you.

Note: There might already be a defualt codename called "Bond". You can use this codename insted of making a new one.

This is definetly going to help you out!

When you want to change stuff in codenames go to the bottum and save the stuff you did...!