This button begins the load.The progress of the load will be reported on the status-bar at the bottom of the window, and a popup message will be given when the load completed. If you get any errors loading the data, you can see these with the Options tab > Error Handling > Write Error Report to > View.
The Preview of your load shows you the data to be loaded into your table, and does not run the load. Any obvious errors, such as non-numeric values being loaded into numeric columns, or string values which are too long, are flagged.
This button becomes active when you are running the load, and enables you to stop the load.