Hi Marina -
There are 2 different pronunciations:
First for example is in the word 'parachute' - in this case, 'ch' is pronounced like 'sh', as in 'shoot'.
The second example is in the word 'chess' - in this case, 'ch' is pronounced as you would in 'check', 'change' or 'challenge'.
Unfortunately there is no firm rule that can signal when you should use each pronunciation - you simply have to learn the word and remember it.