Press Shift+Q to save the game and your character.
The very nature of Unreal World force players to play until death, interrupted only by quitting the game. However, there're ways to save your progress.
Each character has his/her own folder with progress saved inside. During the quitting process, the game will save data in those folder. If that character die, the folder is deleted.
To save progress, a zip/rar apps is needed. During playing, you can tab to a folder open directly on the game. Zip/rar the folder of your character. Get into the game and quit. Now delete that character's folder yourself, then unzip/unrar the archive. IT should make a folder with the name of your character, with files inside just like other characters' folders. Now you can get in the game and load normally.
Deviation from this procedure will lead to some strange state of your game.