I've got quick load assigned to button k, but even after starting up the game and loading a game I still can't quick load! Do I need to select a quick load slot or what?

I think you need the latest patch for it to work. When you install the patch read the readme.txt that will explain how to set it up. A word of advice, assign a key plus Control for quick load... mine is set to control+Z. This stops any accidental loading (they talk about this in the readme.txt).

Unlike what Halbarad states. you do not need the latest patch for this to work. you just need to access the config. (not the .ini file) there should be a tab that lets you set all sorts of hotkeys.