Psychological egoism makes sense when you consider that desires are formed in humans via operant conditioning. Operant conditioning is repeatedly pairing a neutral stimulus with a feeling of pleasure. So the solider acted to save his fellow soldiers because he had previously been conditioned to associate selfless action with pleasure. In children this is done via reward, a child will do something selfless and receive a cookie or treat. A young man will act selfless and will receive praise as a reward. So in reality the soldier jumped onto the grenade because he associated selfless acts with pleasure, which depending on your definition could be considered fundamentally selfish at the lowest level of human cognition.