Pinhead101 -- that's the same problem I have with my MS Sidewinder. It's the old style and the new computer motherboards have no port for the VGA style male connector. I purchased an adapter (female to male Sidewinder to USB) online but it was carp; never worked. I tried contacting Microsoft and they were useless; said they didn't make one, but would be happy to sell me new hardware.
I'm in the same boat with you, I have the MS Sidewinder Pro, but cannot get it to work with my computer.