[Kong]

Make sure it is plugged in and recognized by Windows before launching a game.

What game/system/playmode are you trying?

Try a coin-op game, use the keyboard to insert a coin and press start and then see if moving the d-pad moves your character at all, that much should work without changing any of the default configurations. If not try pressing Tab on the keyboard to bring up the menu and see if you can assign any buttons to the controller.