Li'l Penguin Lost is the second star in Cool, Cool Mountain. It is collected by bringing the baby penguin at the top of the mountain to the mother penguin at the exit of the slide.
The star can be collected in under 30 seconds by sliding down onto the platform under the warp bridge, then jumping off it and sliding down on the slope beneath the snowman bridge, and jumping over the gap.
B Button Challenge
The star can be collected without pressing B by luring the baby penguin to the bottom of the level, and using the wind to grab the penguin.