there isnt a specific load option-what you do is put your transports in the sea directly next tot he province that your troops are located in, select the troops, and provided that you have as many, or more, transports as army divisions that you are hoping to move, simply left click whilst you have the army selected, and they will walk onto the transports.
provided you have transports in the right place, its no different to selecting your army and getting them to walk to another piece of land.