make sure you uninstall the default driver that Windows 7 installs & after that install the gamepads' driver.
Also, I'd recommend XBOX 360 controller, it worth the money, you'll fall in love with the analog triggers in racing games. And theres no hassle with drivers/compatibility with games, as it works out of box in most the AAA titles.
edit: If you're playing new game, the vibration may not work because the dev didnt design the game with generic gamepads in mind.
For the vibration to work, or even the gamepad, you need to use XBOX controller emulator.
*code.google.com/p/x360ce/downloads/list