The original NES Super Mario Bros. **has no save feature** — it uses a **password system** (after Game Over, hold A+B+Select+Start on Controller 2 to reveal a 16-character code). The Nintendo DS / DS Lite / DSi **cannot save NES Virtual Console games natively** because the DS Virtual Console service never existed.
For the best experience today: **Nintendo Switch Online NES app** (official, legal, suspend points, rewind, online play) or **nesDS on DS flashcart** (save states, cheats, fullscreen).