If you're using a wireless XBOX 360 controller on your PC, in my experience it's a good idea to turn on the controller and let it connect (green light stops blinking) BEFORE starting the game. If you forget to do that then you need to start the controller, quit the game and start the game again.
I use a free program called XPadder. Its a little difficult to set up, and controls are jerky, but it works.
Controls are one of the worsts things of Blur, because you can only choose from presets, and there is no customization.
Heres a decent link to get it: (best I could find, cannot guarantee if it works) http://www.filesonic.com/file/1582074684/Xpadder