How do I load a LCPDFR save file?

 

I went to GAME > LOAD but it doesnt seem to show anything there that looks out of the ordinary, there is a Savegame.fr in C:Program Files (x86)Rockstar GamesGrand Theft Auto IV so it is saving.

The Savegame.fr is an autosave that is loaded when the game crashes. You can't manually open it as far as I know. Not sure why you'd want to though, as there is nothing to save while on duty.

I thought that the save would load so that I didn't have to mess about doing ALT+P then choosing a cop to play as etc.

Unfortunately, that doesn't work, although it would be nice :)

You can open the scripthook console and type "restoresession" I think. 

this might sound goofy but what i do is play until my game crashes. then i push cancel when it tries to restart. that way i know when i re load it next time it will start where i crashed.

As ineseri pointed out correctly, you can use the in-game console to load a save. Simply type "RestoreSession". It's best when you do that while off duty.