Depends on what drivers you are using.
For the Xbox controller with USB adapter (not the 360 controller that is) it is best to use the XBCD drivers. Those have their own panel for remaping buttons if needed etc. Since those are tuned to one controller only there is no need to configure it after installing, everything is already setup properly.
If you are using another pad, go to the control panel's game devices section for configuration and calibration. But most controllers these days have their own drivers and configuration panel.
If the stick doesn't work, have you made sure that it is configured in PES? Controller settings enables you to map all buttons yourself, and if the stick can be mapped in there it should work in the game. If it won't be identified at all by PES then the problem is in the drivers or settings for the pad and not PES.