Saligram is essentially a vaishnava symbol of Lord Vishnu without which no pooja can ordinarily take place. As the legend goes, Shani or Saturn wanted to descend on Lord Vishnu. But before doing so, he announced that he would locate the Lord even if he hides anywhere, assuming any form. Accepting the challenge, the Lord assumed the form of Saligram rock on the banks of the River Gandaki. Shani tried in vain to blast the rock. Then in the form of a diamond bumble-bee he tried for years to drill the rock to penetrate and see whether the Lord was hiding somewhere inside. Here again he was not successful. Tired and frustrated he gave up his efforts and left, once for all. The dust particles of the rock which was the Lord himself, fell into the sacred River Gandaki and took the form of shell fishes. Therefore, the Saligram though looks like a pebble or a marble with a smooth surface, it is a shell of a fish in the River Gandaki in Nepal and except in a particular locality nowhere else it is available on this earth. Now this shell-fish is regarded as a rare specie and is protected from the wanton killing by unscrupulous people.
See more "Legends about Salagrama" here from Salagram kosha.