Update: I took the card out of camera and put it directly into PC. Now PC sees the card and raw and JPG files. The raw files are .DNG files. Strange. When connected to the camera via cable, the PC's windows photo import utility was able to see the JPGs and import them but not Raw.
This is normal. The Canon firmware does not know about the DNG extension and does not show them to the PC.
It's possible if you select a different combination of prefix and extension, they will be visible over USB. I'd suggest prefix CRW_, extension .CR2, DNG extension unchecked. Not this will mean your DNG files have a .CR2 extension, which might confuse some windows programs that determine the type based on the extension. If this is a problem, you'd need to find a way to batch rename them after downloading.
To see CHDK created files over USB, you also need to make sure the camera is restarted between shooting and plugging in the cable.
Another alternative to all this is to use chdkptp to download your files
https://app.assembla.com/spaces/chdkptp/wikiRaw Therapee did not even see the card.
This is also normal. The camera is a PTP device, not a disk device like a card reader, so it won't show up in programs that just show files. Explorer makes it look kind of like a drive, but it isn't handled the same way.