Class.forName(...) loads the class that you specify using the current ClassLoader.
What do you want to know more, what the JVM internally does when you call this?
You can have a look at the source code. In your JDK folder, you should have a file called src.zip. In this file, lookup the source code for class java.lang.Class. If you look at the implementation of forName(...) it looks like this:
So, it calls forName0. If you lookup the source for forName0, it looks like this:
It's a native method, so if you'd want to know what it does, you'd need to get the native source code of the JDK; have a look here if you're really interested.