When are you calling the function? And while it's not standard practice to call the load method on an Image control (setting its source property is more common), doing so should be fine:
<?xml version="1.0" encoding="utf-8"?>
<mx:Application xmlns:mx="http://www.adobe.com/2006/mxml" layout="absolute" initialize="onInitialize()">
<mx:Script>
<![CDATA[
private function onInitialize():void
{
Img.load("http://turbonerd.com/media/images/roaming/o/20100203192528.jpg");
}
]]>
</mx:Script>
<mx:Image id="Img" />
</mx:Application>
It does matter when you call that method, though; if you're getting a null reference on that specific line, then the Image control is definitely not there.
Make sure you wait at least until the container's initialize event fires (as above) before attempting to access the control in code. If you're adding the control dynamically at runtime, then you should wait until the control's initialize event, to be sure there's an object there to work with.