Is this in a bathroom? Do you want this timer to control a light or to control an exhaust fan?
In either case, the load wire is that wire to the light or fan (the load) which will be switched to hot when you turn on the switch and which will be automatically switched off at the end of the timed period.
I assume here that the line cable enters in the switch box so you have a neutral in the switch box. If the line cable enters in the load box, then you almost certainly do NOT have a neutral in the switch box and you will not be able to install this new switch without running a new cable.
The load must also have a neutral connected to it. This is so that all that is needed to "complete the circuit" is for the timer switch to switch on the line hot. But the load and the neutral must NOT be connected to each other.
Your new timer evidently also requires a neutral connection to it which your older timer may not have required. The neutral from the line cable and the neutral to the load (usually both white) will be connected with a wire nut in the switch box. Remove the wire nut and add a short pigtail white to the other two and twist back on the wire nut (so then 3 white wires would be under the nut). This pigtail supplies the neutral required by the new switch. This pigtail may be a provided lead on the switch or you may have to use a short piece of wire with white insulation.
With the old type timer switches if one would do this, it would trip the breaker. If you did this and it did not trip the breaker, then maybe these new switches have a built in protection against a wrong connection.