pic18f2420 pwm frequency
You're looking at a frequency vs resolution trade-off.  

The way this PWM works is to take your input clock and feed it into an 8-bit counter.
The clock fed to the counter is at most (for this series of PIC) your system clock divided by 4.
So in your case, the counter sees 1MHz.
An 8-bit counter has 256 steps, and if you're wanting to use the full resolution for your PWM duty-cycle, then that 1MHz clock is going to be divided by 256 to produce the final PWM frequency - giving you your 3.9kHz.  

These PICs also allow you to get an extra 2 bits of resolution by tagging on the 2 bits from the system clock divider to give you an effective 10 bits or 1024 steps of PWM duty-cycle resolution.

The only way to get a higher PWM frequency with the same system clock is to reduce the resolution which the counter is giving you by setting its period register to a lower value.
So for instance if you set the period register to 100, then you can achieve a 10kHz PWM and of you set the period register to 10, then you'll get a 100kHz PWM.
But you need to realise that instead of the 1024-step resolution you had, you now have far fewer steps to adjust your PWM duty cycle.

Increasing your system clock to 20MHz will certainly help. You'll have to set your timer period register to 50 to achieve a 100kHz PWM frequency and you'll have 200 steps of duty-cycle resolution to play with.