Need to power the adapter, usually using the floppy power. Probably need to make/buy a floppy power splitter.
Best way to setup the CF card is using a reader, your PC and WinUAE. Where it gets tricky is partition size and file systems.
Steve is the man for setting these up, he can do it for you for a fee or you can follow his guide :
http://www.fitzstevesamigaworld.co.uk/?p=65
