Saving
Progress is automatically saved to the Playstation 2 Memory Card each time a chapter of the story has been completed.  You must have at least 64Kb available on your Playstation 2 Memory Card in order to save all progress and items that have been unlocked.  To manually save, pause the game by pressing the start button, and select "Save Game".  From here you will be given the option to save your progress.

Loading
Loading saved progress is executed at the main menu.  Scroll down to "Load Game".  From the "Load Game" select "Load Save File", and press the X button to return to point of the game that was last saved.

Chapter Select
The Chapter Select option can be found at the main menu and at the  "Load Game" screen.  Chapter Select allows you to go back and play chapters that have already been completed.