There is an option specifically for setting up the controller in the Final Fantasy XI Config utility.
If you can't find it via any shortcuts, you should be able to find it by manually venturing to the folder:

/SquareEnix/FINAL FANTASY XI/ToolsEU/

or if using the US version, you might want to use:

/SquareEnix/FINAL FANTASY XI/ToolsUS/


If you have been able to use the controller for other PC applications, it should probably be detected just fine. If not, then you will need to use your Operating System to detect and configure it before you can use it with FFXI.


I hope this helps!