I just tried it again and no response when hitting shortcut button. What function should the shortcut button be assigned too for proper chdk function. Right now i don"t have it assigned to any function.
It doesn't matter what you assigned in the canon firmware, chdk sees it before the canon firmware does.
From what I can understand of your description, the most likely cause is either that either the alt button got re-assigned in CHDK, or the shortcut button physically isn't working. On SX40, the alt button can be assigned to "shortcut", "flash" or "video", so you could just try each of those. You can also reset the CHDK configuration by removing any .CFG files from the CHDK directory of your SD card.
To check if the shortcut button is physically working, try assigning something to it in the canon firmware and see if it works. Doing this without loading CHDK (card unlocked) will ensure that CHDK isn't interfering with it.