Quick question -- do I have to beat the entire thing in one sitting?
I have the game and made it to the final boss one night, but then gave up and went to bed. When I started it the next day I had to start from scratch, I couldn't just start from the last level. Is that normal or did I do something wrong?
Yeah you can't just continue where you left off.
But if you beat a world you can play and practice it in single world mode. Single world mode is good for practicing a strategy for a stage, or just playing a level you like when you don't have so much time. But the main game has to be played in one-play through. It's a 'see how far you can get' kind of game.