It uses a system to create a character rather then to create a game. Which is to say, instead of saving which character you are using, which map you are on, what difficulty level you have set, and how many lives you have, SRB2 Universe saves will save which skin you are using, what color you are, what size you are, all of your items, what you have equipped, and what maps you have been to, among other things. You start out in a lobby rather then in the map you were last playing on, and can go back to any map you have been to.
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The lobby you start out in has a menu which allows you to set the difficulty setting from Normal to Ultimate. Then you go to the main HUB map, where you have other menus allowing you to start a quest, warp to any map from the list explained in the above paragraph, buy and sell items, or store your money and extra items in the bank so they don't clutter the equip and item use menus. You can even go back to the lobby map if you wish to choose a different difficulty setting.