It's pretty simple,just plug the stick in and open the game. Then use the map controls interface to program the buttons. All you need do is click the button and it will be highlighted,then select the function from the drop down.
How you setup the stick is really a personal thing and depends on what you fly! If you tend to use bombers some things may be more important to map than say if you fly fighters all the time. You can use the different modes to map 2 functions to a single button,but you need to map a button or key to switch modes.
I would start out slowly and map what is most important to me in a single mode,then once comfortable with it,like in remembering what you mapped....
then you can try using the different modes if you like.
Oh and mode 2 is used for GV's and boats so you can setup a completely different mapping just for that.
Good luck and if you have any questions please feel free to ask!