The Merkur Futur is kind of an odd bird.... loads like no other safety razor I have seen - and more importantly has an inherently unsafe design. Please take extreme care when loading/unloading this razor, as without extreme care, and dry hands, there is a chance you can/will cut yourself.... bad. I have a little scar from it, and I know of a few others who do as well. Enough disclaimer!
Notice on the right side (you can switch it) there is an indentation in the top portion? Now as confusing as it may be, look at the picture below (it is now on the left side, as I had to turn the razor to operate the "top" whilst taking the picture) and you will see how/why this is significant.
Step One - Push the top cover up/off by placing your finger on the open groove. The top is held by a "spring" so the opening action will be very abrupt, and is very quick. It will kind of "pop" off, so do it carefully, and slowly, as if it is done with haste, the whole top can pop off, blade and all!
Step Two - Fully remove the top of the razor. Notice the cheap looking "spring" assembly holding the top? It is basically 4 little wires. As you can tell - I am not such a fan of this razor
Step Three - Drop a blade into the top portion of the razor in the proper groove.
Step Four - Take the bottom main housing/handle and affix it to the top portion by lining up the two "prongs" and pushing downward on a flat, secure surface. You will hear/feel a solid "click."
Top portion is locked in and ready to go. There is no need to re-adjust the razor to the proper setting, as it will be on the setting it was left at.
Special note - be careful not to drop this razor. If dropped, due to its design, it is prone to open up the top portion of the razor, and send the incredibly sharp de blade flying outward.
Now go get rid of the 5 o'clock shadow wolf man!