As my file numbering is aroung 4000, I wonder if CHDK can help me to have a different file naming. for example, image AND movies called IMG_xxxx instead of having a "MOV_xxx". Also can it be possible to avoid the wrapping after 9999 ?
As fe50 notes, the on-card names need to comply with the DCF spec.
But in any case this is something that applies to all cameras, and it's something that we all (photographers worldwide) deal with. The best way to think about it is that these names generated by the camera are only to stop filename collisions on the card. They are NOT going to be unique once they're on your computer.
Normal routine is to rename the files as they're being copied to your computer, using names that are going to be unique. At some point your camera will wrap around from IMG_9999 to IMG_0001, as will all of your other cameras. And if you use more than one camera and ever swap flash cards you can find that you can get two sets of files on the same day with the same filenames! By renaming the files as they're copied to your system (Bridge, Lightroom, Aperture, etc all have this function in their download/import routines) you can convert these per-card filenames to ones that will not collide. Even by just putting the date/time of the photo as the start of the new filename you can make them unique.
Also keep in mind that the filename number does NOT necessarily indicate how many photos the camera has taken. The camera-generated filenames are not very useful by themselves.
Even if you're only using one camera at the moment, get used to this setup and you'll be able to avoid pain when you DO start using a second camera.