It’s the same as loading every software. You start the program, the program starts fetching the resources it needs to do its job. “Fetching the resources” here can mean different things.
For an offline game it’d be grabbing all the necessary files and setting them up to be used. Files are moved form slow storage to faster memory, data structures are initialized, compressed assets are decompressed (audio files, for example), etc…
For an online game it’d be all of the above, plus some communication over the network with a server to fetch more data to set more things up.
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