Yes, I have a 20D - and it stores all the metadata in the RAW file with the image itself. In other words, one *.CR2 file per image (unless you store RAW and JPG simultaneously, which the 20D can do). The only time I know of that you get another file to go along is in Photoshop (at least in CS2) where any changes to a raw file (exposure, tint, whitebalance, contrast... etc) is stored in a separate file ending in XMP.