After you see that and the game starts up, RTS is enabled. In order to save the game's state, just push A, B, X, Y, L, and R, which pops up the CycloDS ingame menu. Simply select "Realtime Save" to save the game, and "Realtime Load" to load the game where you Realtime Saved it last.
I hope that answers your question.
Note to mods: Please move this to the CycloDS category.