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You need a fleet in a sea zone adjacent to the province with the army.

Select the army, point the cursor over the ships and press the mouse button, just like you do when marching from one province to another.

Regards,

Emp

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Uhm... nice province. I
think I'll take it.
 
Hmmm move your ships out of the harbor, now select your troops, and move them to your ships by rightclicking on them.

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Pour dieu et mon droit
 
There´s one more thing: After selecting the army, You don´t have to rightclick on the ships actually. Rightclicking on the seazone where the ships are located suffices (and is more comfortably done). :)

Hartmann
 
Don't be ashamed of not understanding this....this seems to be on of the most misunderstood points of the game :)
Personally I think if you move your army to a ship in harbor the ship should move out to the seazone and the troops then border automaticly, that way you still have to 'control' the seazone to be able to move troops by sea, but then it would make something that is illogical easier and let you immediately queue the ships for further movement.... (NB: This is my wish not an actual feature)

Cobos

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If you are not part of the solution you are part of the precipitate.
 
I also had some trouble loading troops onto fleets at the beginning. I don’t think it is covered in the manual (?), but I read about it in the “tips” that pop up at every new game. They are actually very helpful. Read through them, because they explain many things that is not covered or is unclear in the manual.

As Rogan mentions, it is quite often one forget fleets at sea and they start to diminish, and if you are unlucky they perish altogether! A nice feature would be a patrol option for fleets. This could be very useful in the New World, where there are a lot of pirates causing large income losses. Also, an option to have a fleet go to the nearest harbour when they start to suffer losses due to bad/none existing supply-lines would be welcome.
 
Hehe, I had the exact same problem in the beginning! I read the manual cover-to-cover three times without result, but finally figured it out by accident.

I also thought it was logical to have your fleet in a port before you try to load troops...

(wonder if they swim out to the ships...)

/H.E