I am on the Windows platform (Windows XP), i use
> wxPython2.6-win32-unicode-2.6.1.0-py24
Yeah, that explains it. The backend for 2.6.1 and less is COMPLETELY different then the one now, also a lot of that behaviour was fixed. In that version what you are experiencing is that the FINISHED event gets processed from a secondary thread, and when you call Load() the secondary is destroyed and recreated... however as you might guess that is bad if you are still in the secondary thread :).
So, if you update to 2.6.2 at least and that problem will go away as finished events and now queued on the main GUI thread now. (CVS HEAD is even vastly better than that but I guess things will have to wait until 2.8 for that unless I can petition the devs otherwise :))
Ryan