It should be automatic. PPSSPP is designed to natively support XInput controllers, so it shouldn't be an issue.
Does the X360 pad work in all other applications/games?
Do you have multiple controllers connected to your PC? There is a minor issue with PPSSPP and multiple controllers at the moment, wherein you have to set your chosen controller as the first one in the list in order for PPSSPP to pick it up:-
In the search menu of the start screen in Windows 8, type in game controllers and select the "Set up USB game controllers option"
In the dialogue box that appears, click on Advanced, then for the Preferred device, choose the X360 pad you want to use in the list for PPSSPP.
Hit OK, then OK again. It should work now.