I'm assuming this is the one you have,
http://www.joy-stick.net/reviews/gamepads/sidepad.htm the gameport, non-usb version. It works fine in xp. Go into Game Controllers, within Control Panel and see if there are any controllers, if not choose Add (and if you're controller is plugged in, it should detect it). I got both game port and usb control pads working this way.
Hope that helps
[edit: you don't have to install any separate ms sidewinder drivers, it's all w/in xp]