1) Put the fleet out to sea (I know it seems counterintuitive to load troops onto a fleet at sea, but that's how it's done).
2) Select the army you want to load on the fleet, making sure that they have a route to the fleet (normally, they'd be in a province bordering the sea zone where the fleet is).
3) Move the army that you've selected into the sea zone where the fleet is. This should load them onto the fleet.
If it doesn't let you move the army into that sea zone, it's probably because the army is too big for the fleet to transport. You can check the 'weight' of the army and the capacity of the fleet and you may need to split off part of the army (or build more ships).