In the boat chase scene where McHale (Tom Arnold) and his crew are chasing Maj. Vladikov (Tim Curry), Maj. Vladikov fires a missile (one of two on a small laucher located at the rear of his boat) toward McHale's boat. Lt. Penelope Carpenter (Debra Messing) fires a shoulder launched missile toward the on coming missile from Vlad's boat and happily destroys it.
For the next minute or two, the camera switches from Vlad's boat to McHales and back again. Each time they show Vlad's boat, you can clearly see that one of the two missiles (the one on the left) on the launcher is missing.
Then, Vlad fires a missile at a Navy helicopter which has also been chasing him. When the camera shows the missile as it leaves the launcher, mysteriously it shows two missles on the launcher, not one (like before).
The camera then shows the helicopter dodging the missile, and then cuts back to Vlad in his boat. If you once again look at the laucher in the background, it mysteriously has two missiles again.
Self loading? Doubtfull as we never see any indication of this by Vlad or even by the laucher itself.