all you guys have bad listening skills? He also said about axis setup, not only button setup!
Options -> Setup Controls... -> Setup Joysticks... -> Select Joystick... and pick your joystick, then press Esc to go back to the main joystick menu
here, setup what axises on your joystick to do what
to set up your joystick buttons press Esc at main joystick menu and go up to "Player 1 Controls..."
there, pick the action you want, and press the Enter key, then press the joystick button you want the action on
after you're done, esc out of the menu, and start a game!