Copied this from Saving Private Ryan Online:
The origin of the phrase "lock and load" is not entirely clear, as there are two similar, yet distinct, explantions for its origin. Regardless of its exact origin, the phrase has come to relate to any activity in which preparations have to be made for an immediate action.
One explanation of the phrase comes from the actions needed to prepare a flint lock rifle for firing. In order to safely load a rifle of this type it was necessary to position the firing mechanism in a locked position, after which the gun powder and ball could be safely loaded into the rifle barrel without any chance of the rifle misfiring.
The second explanation is that the phrase (as "load and lock") originated during World War II to describe the preparations required to fire an M1 Garand rifle. After an ammunition clip was loaded into the rifle the bolt was pushed forward in order to "lock" a round into the chamber.