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Basically, all levels with a red dot rather than a yellow dot have two exits, the one you just completed, and the one you completed before that (With all the different pipes and stuff),
If you can find and use the key in the first one, you'll have a much quicker route, but I've no idea how to guarantee getting to it, it seems random.
On the second level, if you have flying yoshi or you can just fly (Though I think there's a blue koopa floating around near the exit), fly UNDER the exit to the level and keep going until you find another exit. THat'll take tyou to the fortress.
I completed this when I was 8 and I still remember how to do it all.
> The gameboy advance one.
oh god...this is going to be difficult.
ok, both of the games that edgy said about were game boy advance games....lets make it simple.
super mario world/super mario advance2------the one where you play as either mario or luigi.
Super mario world 2:yoshi's island/super mario advance 3------the one where you play as a yoshi with baby mario on his back.
now, judging by your origninal question, i think you are talking about mario world..explain your problem more specifically and i'll see if i can help
a) Super Mario World 2: Yoshi's Island from the Super NES (which is Super Mario Advance 3: Yoshi's Island on the GBA)
or
b) Super Mario Advance 2: Super Mario World?