You should just be able to plug the controller into a USB port on your computer. I've heard this isn't easy with XBox controllers. Two options I can think of:

1) Buy a USB game controller. Here are some at Amazon
2) Buy a Playstation to USB adapter and use your PS3 controller. Something like this should work.

I like option #2 better and it's what I use (though actually mine is a Playstation 1 controller, but it looks like it's the same shape as a PS3 controller).

After that you'll have to configure it to run with FFXI. There should be a program called "Final Fantasy 11 Config". It's pretty easy to figure it out. It might take a couple tries to get the configuration to what you're used to.