I have a position that I want to analyse with the help of Fritz, but how do I actually load the game/position into fritz?

Rather than explode into a gigantic forum post, let me merely refer you to Steve Lopez's nicely written articles on chesscafe.com. It may be in the archives, but you should be able to hunt it down easily.

If the game is in PGN format, you can simply hit the upper right icon and then browse for it.  If there is just a position you'd like to analyze, you can hit Control + N (for New game) and then Engine -> Switch off Engine, allowing you to move the pieces around without Fritz making moves.

OR, go to File -> New -> Position Setup, and it will allow you to throw pieces on the board wherever you desire :).

Another option is to press 'S' to get the 'Position Setup' screen.

Or place the FEN string into the clipboard (outside of Fritz), and then in Fritz go Edit-->Paste-->Paste Position.