Need to know how to load script in Vim

I've spent several hours now trying to configure Vim use autocompletion for
python. The default omni-completion is nice but it only completes words that
I've already typed.

I'm trying to use this script
/usr/share/vim/vim71/autoload/pythoncomplete.vim which comes with Vim
However I don't know how to load it, or if it's already loaded - how to
check that. Can anyone tell me how you load a script in Vim, i.e. is there a
command like

:load-script /usr/share/vim/vim71/autoload/pythoncomplete.vim
or
:check-if-script-is-already-loaded pythoncomplete.vim

Does this autoload directory mean the script is already loaded?

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