Hello & wellcome, woodman78 !
I can bring up the menu and all the options on the image review mode but how do i go from there to actually taking photos. When i try to go to shoot mode the camera turns off and when i turn it back on the CHDK is gone.
I guess you loaded CHDK the manual way (through the "Firmware Update" menu item from the Canon menu)...
Just press - or half-press - the shutter button once to switch from playback mode to record mode where you can capture images.
CHDK is just a loadable software add-on; you can either load it manually with the firmware update method,
you have to do this always after you power on the camera.
If you want to start CHDK automatically always when you power on your camera, you have to prepare your SD card, read the
CHDK wikia - FAQ #18: How can I make the CHDK program load automatically at startup ?- With this autoload method the camera always starts in playback mode, press the shutter button once to switch to record mode;
you can also power on the camera by HOLDING the power button for ~ 2 seconds.