rabbid - no good news, I'm afraid.
When I first got my Sidewinder stick, quite a few years ago now, the CD that came with it was out of date - 3.0. The latest drivers are at version 3.02, where they have been for about four years - long before deployment of Windows XP.
One problem I identified with the profiling software was that it would not install to C:\WINNT\... - it would only install to C:\WINDOWS\... which is probably why the website says that you need W95 or W98 to use these drivers. I had them working on WMe, but not W2000.
See for yourself - go to
http://www.microsoft.com/sidewinder and start from there. You should find a way to make your stick work, but you won't be able to use the profiling software.