Canon CHDK - Manual (Page 73)

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Notes
2011 camera releases, including the SX40HS, can work with SD cards formatted up to 32GB - it is no
longer required to partition the card to have CHDK autoboot.
The following steps should work on any card up to 32GB
- format the card in the camera
- copy the full CHDK download (unzipped) to the SD card (DISKBOOT.BIN, and PS.FI2 plus the
CHDK directory)
- lock the card and start the camera with the rear playback button
- press the Menu button and select 'Firm Update...' from the bottom of the first menu
- when CHDK reboots enter <ALT> mode
- select 'Make Card Bootable' from the 'Miscellaneous Stuff' CHDK menu
- restart the camera and CHDK should now autoboot
Thanks to philmoz.