My apologies, looks like I've had incorrect setup instructions here for years! I have updated the instructions, so take a look at those. It's important that you right click the .exe and create your own shortcut, instead of using the one I included in the zip folder.
Dang, I'm sorry, I've been looking into the HappyFunTimes system that manages the controllers, and it sounds like it's not really being supported anymore. Maybe I will have to adapt the game to support game controllers :/