Li'l Penguin Lost is the second mission of Cool, Cool Mountain. The star spawns in a different location on the Japanese version than all other versions.
In order to have Mario launch off of each slope and make it all the way across the gaps, you need to be holding the direction he is sliding as he leaves the slope.
In regard to Pingu Trick, if you end up jumping late once you hit the ground after the slope (as demonstrated here in the above tutorial), you'll want to back this up by doing a couple big, prolonged jumps until you do reach the mother penguin, as opposed to doing more short jumps.
