It is not intuitive; to load units, move your ship to the coast, select the units, and [Ctrl] + click the ship.
While the game originally launched around March 1998, version 1.05 settled many early technical bugs and balance issues. File: Anno.1602.A.D.v1.05.zip ...
If you are just starting with this version, keep these fundamental tips in mind: It is not intuitive; to load units, move