It may seem complicated but once you play through the game a couple of times it gets easier.
When the game starts you are in the land of Termina with a little dial at the bottom of the screen. This dial will tell you what day your on(1st 2nd or last) and what time it is. When you begin you have three days to find Stulkid, get back your ocarina, and transform back into regular link. Since three days(about one hour in real life) isn't enough time to finish the game, ther's a way to go back to the first day. When you find the ocarina and learn the Song of Time you can transport tback to the beginning by playing it. When you do this you will be able to save your game. But when you go back in time you lose all of your arrows, bombs, rupees, etc.