If you save an .atn file in
\Photoshop CS\Presets\Photoshop Actions
...you can bypass the Load Actions... command and just click on the filename at the bottom of the Actions Palette menu. This only works if the .atn file is in the folder above. If it's in any other folder, you must engage the Load Actions... command.
The suggestion to save .atn files "somewhere else" besides the folder above is sound advice. If you happen to uninstall/reinstall Photoshop -- something that is sometimes necessary to fix difficult problems -- you would indeed lose any custom .atn files saved in the folder above.
* Replace actions... - gives you the option to (literally) replace all actions in the Actions Palette or append an .atn file to what's already there.
* Clear actions... - does just that. It erases the Actions Palette and there's no "undo."
If you visit
http://www.atncentral.com you'll find an exceptionally comprehensive tutorial on actions.
Hope this helps...
~Danny~