I have both the percission 2 and the FF2 sticks by M$, Also running XP(P ro) and both work well.
I didnt install them using the cd that came with them, I just plugged it into a usb port and XP installed the drivers.
MS achkowledges that thier programming software will not work in XP, they also dont have plans to fix it either. There comment is XP has the device drivers built in. IF ya want to adjust the settings then the game itself has to have these types of functions built in