I had trouble with this too. I had 2 sets of connectors to the mobo, each set had 4 different "plugs". The 4 were VCC 1, Data -1, Data + 1 and Ground 1. The other set of four was the same but instead of the 1, it was always 2 so example: VCC 2, Data -2, etc. The pins on my mobo were setup as such:
TOP - . . . . (4)
BOTTOM - . . . . . (5)
9 pins. The way I set it up is such (left to right)
TOP - VCC 1, Data -1, Data +1, Ground 1
BOTTOM - VCC 2, Data -2, Data +2, Ground 2
I just tested my setup by putting in my Sidewinder wheel and XP immediately recognized it. So it works. Try doing that... the labels on your connectors might not be the same but just use common sense, it most likely uses the +1, +2 stuff.