http://chdk.wikia.com/wiki/Bootable_SD_cardNot very clear, but comprehensive

It's a complicated problem that requires some technical understanding.
You will find some mentions of manually loading CHDK with PS.FI2, which allows you to use CHDK without doing anything special to the card, but AFAIK it does not currently work on SX20
Files larger than 4GB are impossible even on FAT32, so CHDK cannot changes this.