As a long time user of CH analog (gameport) products, or "legacy" devices as they are now called, allow me to enlighten you.
A "gameport to USB" adapter comes in varieties. The MS Sidewinder sticks used one example, a simple adapter that had a female gameport plug on one end and a USB 1.1 plug on the other end. The reason is, when the Sidewinders came out, computers were transitioning from gameport to USB and MS wanted the stick to be useable with either type of system. However, this adapter was only useable because the stick was already a digital stick and USB ready. For a true Analog stick or device to work, it has to be polled. Digital (USB) sticks dont use polling, they talk directly to the OS. They do make adapters (more like "converters") that you can plug an Analog stick or other device into that will do the polling for the stick, and convert the information into digital format and send the information to the computer via the USB plug. I have no idea how well they work, I've never owned one. I just bought a SoundBlaster card that had a gameport on it.
Oh and that isnt a "Y" adapter on your pedal cable. The stick (or yoke) only plugs into one of the connections, the other one is pretty much useless. It was designed for "high speed" gamecards that had two plugins on them (called "readdressable" cards) so you could add the toe brake function on the rudder pedals. The USB pedals have this function, the analog ones only have it if you have one of those cards. Considering that they only ever made readdressable gamecards in ISA format, and no modern computer has an ISA slot, its a moot point.
Considering a cheap soundcard is probably less than one of the hard to find analog/digital converters to plug your analog joystick into a USB spot, that would be my choice. Wait. It WAS my choice.
Best of luck!
Oh, and Windows XP can easily handle more than one controller. It dont likee the analog so much, but they work if you download the analog drivers from CH's website. Otherwise, XP wont recognize them.