Orange,
Do you have an SD card reader? That makes it easier, instead of messing with a cord and special software to transfer files to and from the camera.
CHDK provides automatically built releases now, which means that no one checks each new build with each camera model before releasing the software. So sometimes a build won't work, or won't work right, in a particular model. If so, try another version. There's a complete build and a small build. The small build contains nearly everything you'd ordinarily use (it doesn't include the scripting languages, etc.) and is less confusing when starting out.
It's easier if you use a 2GB or smaller SD card. The camera should format that size card in FAT16. Or you could format the card with your PC.
(If the card is 4GB or larger, according to the docs you'll need to create two partitions, a small one of a couple of MB formatted in FAT16, and the rest of the card in FAT32. Not every camera supports that, and I haven't done it.)
Copy the DISKBOOT.BIN file onto the card. If there's a PS.FIR file, copy that too. Then create two empty files on the card named ver.req and vers.req. Don't put the files in the picture directory. They need to be in the root directory of the card. With the small build, these few are the only files involved.
In playback mode, press the Menu button and look through the menu to find the "Firmware Update" option down at the bottom of the menu. Do that and when the camera reboots, it should flash the blue LED once. Voila. CHDK is now active until you turn off the camera.
To automatically start up CHDK every time the camera starts up, instead of doing a Firmware Update each time, press the Direct Print button to go into the new ALT mode. Then press Menu, pick Miscellaneous Stuff, and pick Make Card Bootable.
After making the card bootable, take it out and slide the tiny lock switch to the locked position. Reinsert the card. Whenever the lock switch is on, CHDK will start up automatically. When the lock switch is off, CHDK won't start up automatically and the camera will work normally.
There are plenty of other confusing bits to this, but it's a nice improvement to the camera.