If you have an external card reader--that is the easiest method to format/bootable/read/write your files.
Assuming the camera is not doing anything strange (like trying to prevent you writing non-image files)... Turn off the camera and pop out the SD card. On the side you will see a little slide switch. Push it to "UNLOCK".
Put it back in the camera and turn it on. The camera (if it is not running CHDK) will give you a warning if the card is still "write protected"...
If the card is not write protected and you still cannot save/move the file to the card--it may be the camera firmware "protecting you" or it may be an issue with your operating system (you need to spell out your system for more help).
Otherwise, the CHDK Wiki has the basic CHDK install/setup information here:
FAQ - CHDK Wiki-Bill