what have you tried doing so far? have you tried experimenting with playing the game with yourself? this is how you're supposed to work things out. for instance i shall start you off.
if 3 is the chosen number... you can either pick 1 or 2..
say i pick 1
3-1 = 2.... my opponent can win next turn
if i pick 2
3-2 = 1... my opponent can win next turn
he who goes first loses, so choose to go second.
if 1 is the chosen number. go first since you can get out in one go.
if 2 is the chosen number. go first since you can get out in one go.
so try doing it for all the numbers from one to twenty, and trying all the possibilities, and seeing if it would be best to go first or second.
then once you've done this see what you notice about your results. maybe you will see a pattern.