I too was hoping for a save. The day I downloaded it and played I almost got to level 4 when I died and it brought me back to level 1. I re did it and did the same thing; got to level 4 and died. Today I actually defeated the demo; though I apparently left things undone and this day I finally got a lot more 'auto saves' in it too. I really enjoyed the demo though the system requirements is.... well a lot. I didnt think my 2 year old PC would actually be a "minimium" to play a game; I tried it even on medium settings and the game was still choppy; but oh well.
Anyways I guess since this demo has no 'save' feature I'd suggest making sure you have at least 2-4hrs to even attempt to play this game. And above all.....buy those health potions; and drink it when you are down to 25hps as it regenerates 70+
