The expression “lock and load” comes from American G.I.s during the Second World War and refers to loading the MI rifle for imminent combat.
The phrase means to insert a full ammunition clip into the rifle, then lock the bolt forward, forcing a round into the chamber ready to fire.
The original order was “load and lock,” but after John Wayne reversed the order to “lock and load” in the movie The Sands of Iwo Jima, the expression stuck.