Depends on how you interpret "loaded".
If some pgm reads assembly as binary file and does something with its
content - is it loaded or just read? See reflector or anakrino. There
couldn't be any in-assembly event except in-OS, like windows hook which
intercepts file reads. Of course, if you are thinking Windows.

Otherwise, as soon as code starts to run in your assembly it is "loaded and
executed"

HTH
Alex

after reading the previous peace of useless advice I though it was time to
right the wrong ;-)

AppDomain.CurrentDomain.AssemblyLoad += new
AssemblyLoadEventHandler(myHandler);

sometimes a quick look in the documentation it's all it takes!