Depending on the entry and exit linkage you can call a rexx program through several formats lik
call loadmem parmlist
address tso loadmem parmlist
address tso call 'loaddsn(loadmem)' 'parmlist'
address mvs ....
and many several other formats.
Also depending on the system and address orerand usage you can put your program in ispllib steplib llalib lpalib or using ispf altlib service to concat your loaddsn to ispllib dynamically.for some of the invocation even you need not to allocate your loaddsn because you code your dsn in your rexx as specified above.
anyhow the prefered way if you run your rexx under ISPF is to allocate the loaddsn to ispllib through ispf altlib service and if the load module entry and exit supports following(as it in most of the modules which written to be called through rexx) call load as bellow
rc = loadmem(parmlist)
simply you can check return code by examining the rc after calling load module.