I had some difficulties getting it to work the first time too.
For me, the station had power, it had coal in its inventory, and it was set to 'Load' the truck, but nothing would happen.
What ended up fixing it was I just had to drive the truck out of range of the loader, and then drive back into range. Once the truck enters the yard, it signals for the loader to load (or unload, depending on the situation)
I had a bit of a hard time figuring out how to automate the truck as well. Press 'C' to open the trucks menu while driving it.
Hope this helps.