quote Xanato

Save data for a file on one of your other games, turn off the system and leave it off for about 30 seconds, and then turn it back on and see if it's still there. If it is, then your Super Mario World cartridge has a dead battery.

Cartridge games (Nintendo, Sega Genesis, Super Nintendo, Nintendo 64, etc.) have a battery built into them that stores data such as your high scores, progress, and unlocked content. After about ten years of being active, it will begin to stop functioning properly.

Assuming the battery is the issue, you have three options. You can buy a new battery online and replace the one in your cartridge, buy the game on Nintendo Wii's Virtual Console, or buy another copy on an auction site like Amazon or eBay. You'd likely make things easier for yourself if you went with the second or third choice.