When JLookUp runs, it first makes sure that 'iconv.dll' is present. By 'present', I mean that it is either in the same folder as JLookUp.exe or in your Windows\System32 folder with all of the 8 million other .dll files.
If you're not running Windows XP, it will also most-likely need to have 'gdiplus.dll', 'riched20.dll', and 'unicows.dll' in the program directory.
Then, it opens Options.jlreg and loads in all of the options. If this file is not present, it will make a new one with the default options.
If your Options.jlreg file is out-dated, JLookUp will try to patch it up with the newest additions.
After the options are loaded, it loads the KANJIDIC, RADKFILE, and 'partsofspeech.jlf' files.
Then it loads the EDICT dictionary files. If indexing is enabled, it indexes them at this time as well.
JLookUp displays what it's loading in the status bar, so you should be able to track its progress if you look really fast.
NOTE: While JLookUp is loading the above things, you cannot search, load dictionaries, or do radical lookups.