How do you get a steering wheel to work?

[cheap-o]

I can't any info on the forums about using a wheel and pedals..But there's people using theirs for Ridge Racer 2 and other games, so how do you do it?

I've got a cheap Thrustmaster Ferrari GT Experience here collecting dust.

Edit: Half-works now.. Odd, it didn't work at all last week.

So, I didn't mess with anything and the steering works. The problem I've got is that the brake pedal is always on and it's cycling through the menu constantly. The accel pedal isn't working, but the X button is and that's accel. How do I sort these keys out, nothing is changing on the controls menu screen?