Usually when a study has any type of load fail like that it is because the geometry on which that load is based has been lost. It can be strange sometimes though because if you check the properties of the load everything shows up fine and looks correct. If that is happening try deleting your first load and just creating another. If that still does not work than go through the bodies in your study and make sure that the body you are apply the load to is showing up and that it is not showing up more than once. As a last resort you may have to recreate the the study from scratch. This type of thing was more of a problem in 2009, it seems to have gotten more reliable in 2010. Good Luck.
For a transient temperature simulation, requiring an initial temperature, I run a pre-study in steady state.
a) create a thermal steady state study
b) temperature load : convection, etc..., and set the temperature as the defined initial temperature (e.g. room temperature).
c) mesh and run the study.
d) the result thermal study should show one temperature only on the whole model.
d) create a second thermal study, transient.
e) in the study properties, set the transient temperatures, with "intial temperatures from the study ...", and choose the 1st steady state study name there. This will create the thermal load initial temperatures in your transient study.