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send your boats to the adjacenet water territory then select you troops and select that same water territory( r-click)... if that doesnt work its because your troops weight is greater than the fleets weight capacity
I believe you actually have to select (r-click) near the bottom of the fleet (not just in the sea zone) after you select the army units you want to load. Note that rubblestone is correct about moving the fleet to an adjacent sea zone - you can NOT load the fleet while it is in port (a typo or mis-translation in the US manual states the opposite!).