Hi, welcome to the forum.
It depends on your camera, if it's got DryOS the write protect is necessary,
otherwise CHDK won't boot (your cam has DryOs, if your CHDK archive only
has DISKBOOT.BIN, and no PS.FIR).
Non-DryOs cams can be run either way, but CHDK will only autostart with
the protection on, otherwise you need to start CHDK manually through the
Canon menu's Firmware Update.
That said, it does not really matter, because it will be able to save pics
anyway, CHDK makes your cam ignore the write-protect when it runs.
wim
PS Try the user guide (link in my signature) for more details about
CHDK, other 2 links might be useful too ...