I've used two different MS Sidewinders for the last... 5 or 6 years and never had a problem. I use a Sidewinder Precision Pro on Win98SE via USB at the moment and everything works, all 8 buttons. I also use the SW software to make the SHIFT button work as well so I have more total buttons, it works well.
Make sure you have DX 8.1. Make sure you have no IRQ conflicts with your USB devices. Make sure you use Windows Update and get all applicable updates for your OS. Check MS for any updates for the Sidewinder software and drivers.