It is only located on the CD which came with the device. It is not
available for download from Microsoft. Just insert the controller, go into
Control Panel/Game Controllers and select Add, then Microsoft SideWinder
(AutoDetect). It will install it.
The Add... and Remove... buttons in the Control Panel are only for gameport
devices. For USB devices the drivers will load when you plug the device in.
The only thing you really gain by installing the software on the CD is the
ability to map keys and create macros.