First off, open epsxe, select Config then controllers and select controller one. A diagram will show up displaying which buttons on the playstation controller corresponds with which keyboard letter. Then you need to open the sidewinder control panel and select Properties. Then select Recorder on the top tabs. Then select which sidewinder buttons you want to control which keyboard keys. Then save your scheme. Whenever you play your game with your sidewinder, make sure you have that scheme selected.
Its much simplier than that. As long as you have the pad correctly installed in windows it should just work fine. open up epsxe then goto config -> gamepad -> pad 1 and use the following settings.
(In order change then click on say J1_right then press a button.)