I bought a Microsoft Sidewinder etc etc, I spent a weekend trying to get it to work, updating drivers, following the vast troubleshooting on the MS website about the problems associated with it, eventually it suggested I buy a new soundcard!
I then found a few threads here with exactly the same problems I had.
SOOOoo I brought it back to the shop and with no quibble they let me swap it for a Logitech Wingman extreme digital with twisty handle rudder thingy, it was half the price, worked first time and is absolutely brilliant, highhly recommended!
Pengineer