Kondor,
Welcome to the EU Forums! I hope you will check out the "sticky" threads at the top of this forum, as well as all the useful FAQs out there, esp. Huszics' FAQ
http://members.nbci.com/huszics/indexeu.html
They will handle many questions you haven't even thought of yet!
1) To load armies on ships (make sure the ships have enough carrying capacity!), put the ships to the adjacent sea zone, then click on the army, then right-click on the ships to start loading. To unload, click on ships, click on the box "Unload Troops", and right-click to adjacent province. You can also unload troops by putting the carrying ships into the port, but you can't load troops on ships in a port.
2)First, make sure in the options that you have "Forced Annexation" on. Then, when you are ready to take some land, you send a diplomat to the country you wish to ripoff or annex. You will see the number of stars and provinces that you control (you can also ask for money in 250 d. amounts, but be aware that you probably won't get what you ask for in money). If you have conquered *all* (including colonies, but not including trade posts) of the enemy, you will get the option to "Annex". Take what you can get the enemy to agree to, though if you choose to "Annex", then you don't need them to agree. Be aware that, if Scotland is allied with others (notably France), it might not agree to any cession of land (hoping that France will come to the rescue), regardless of stars. Also, you can't take the capital province in a peace settlement without annexing a country.
Cheers!