Do you want to preload a generic class or a
servlet?
I am not sure how to preload a generic class but I do know how to preload a servlet.
If you have your servlet defined in Websphere Admin console then there is "Load at startup" option on the advanced tab. If you are using the auto-invoker servlet (created by the Create Application Wizard) then you need an xml servlet configuration file in your servlet folder (file extension ends with .servlet). You will find the details about the configuration file in the infocenter documentation. You could also copy an existing one from some of the sample servlets.
Good Luck,
Joe