When you go to a lumber yard or home improvement store, you'll be faced with several options for pressure-treated lumber. It's graded for different purposes. Micronized Copper Quaternary (MCQ) lumber is usually used for above-ground, horizontal applications like decks and stairs. Each piece of lumber will have a tag stapled to the end indicating what grade it is, where it can be used and sometimes, how long you should wait before painting or staining it. Some stores carry pressure-treated wood that has been allowed to dry out and "cure" before being sold, and you may be able to use a latex stain on it right away. If this information isn't written on the tag, ask the sales staff or call the lumber company.
The reason that pressure-treated wood needs to cure before being stained or painted is because the pressure-treatment process gives it a very high moisture content. Putting a latex stain on wood that needs to dry out guarantees adhesion problems, as the moisture will make the stain peel and flake off.
Your climate will have a significant influence on how long the wood will take to cure--most likely your building supply store only stocks lumber that's suited to your climate. You may be able to use a latex deck stain within weeks if you live in warm, dry Arizona. In humid, cooler Maine, the wait can be several months. Again, knowledgeable staff, or the lumber company, should be able to advise you.
Even if you have to wait several months before using a latex stain, you should still seal the wood because it can start turning gray, splinter or warp, according to the Painting and Decorating Retailers Association (PDRA.) Use a clear preservative formulated for pressure-treated wood and then use latex stain once it's cured.