I have a set up with Pedals, Collective, Cyclic. I use X-plane v8 and FS 2004. (You need the stuff that simon mentions for FS)
The collective is just a standard throttle quad mounted down on the left hand side of a standard office chair. I've attached 'lever like' rod to the throttle lever and reversed the throttle operation in the sim settings. This puts you hands and feet in approximately the right places, and lifting the lever lifts the Heli.
Flight model for 22 in MS FS leaves a lot to be desired - may be fixed in FS 2006.
Flight model for 22 in X-plane is very realistic but the photo scenery is not as good as MS FS. The latest R22 (from Brett Sumpter) - download it from the net - has many working controls enabling the check list to be worked through (mostly)
On balance X-plane with 19 inch screen wins.
Contact RC Simulations (no connection) for all the help you need - they are excellent.