Hi
Thrustmaster  say no support for these items under XP
So What I would do is buy a cheap pci soundcard with a gameport or a pci gameport card(never had much luck with the usb/gameport converters) you can run 2 soundcards in 1 computer check out the rogerwilco sites for info on setting them up as this is quite a common setup when using the program
As for the software try running in compatabilty mode under XP or do a duel boot system with 98se/XP.Failing that you should be able to set up the stick ect using the custom setup in windows controler/gaming options. if your having trouble getting the keys to work on the stick assuming its programable you might like to try slowing the keystroke and typematic settings in the computer's bios I had this prob on an old f22pro/tqs setup
Hope this helps
MaV