Hello, 
recently my brother got this game and unlocked a bunch of characters, and after shutting the game down he lost all the unlocks. After investigating I noticed a screen telling me: Are you sure you want to return to the main menu? All unsaved data will be lost.  
I looked up and down and could not find a save button. The internet had no answers either. My brother's xbox is not connected to the internet (he's only 9) and I'm unsure if that's a problem....
any help would be appreciated.

there is a hard drive on the xbox too....

 After investigating I noticed a screen telling me: Are you sure you want to return to the main menu? All unsaved data will be lost.       

Save is usually under Options or sometimes Extras in those types of games. You might wanna check the game manual though.

"

 After investigating I noticed a screen telling me: Are you sure you want to return to the main menu? All unsaved data will be lost.       

That's the case on almost all games these days. Generally they'll autosave, and that message is just warning you that anything since the last autosave won't be saved. Any good game should autosave fairly often. Is there no mention of that when you start the game? Usually it says something along the lines of "If you see this icon (X), the game is autosaving. Do not turn off your console."  Other than that, I'm not sure. Press start and see if there's a save option? These seem like obvious suggestions. :P "