How can i get my ps2 controller to work on the Steam version of FFXI?

[Panthera]

I downloaded FFXI from Steam onto my PC. I have an USB adaptor for my ps2 controller, but FFXI doesn't recognize the controller, although the computer does.
Gamefaqs says i should do this...
"Start->Programs->PlayOnline-> Final Fantasy XI -> Final Fantasy XI Config -> Gamepad Settings"
...but the steam version only launches the game, and these files aren't on the hard drive.

What do I need to do?

Thanks for your help.

[Corrderio]

Try right clicking FFXI in Steam, see if the drop down allows you to change options.

EDIT: Quick example:
http://img31.imageshack.us/img31/9350/dropdown.png