I found that many have problems with connecting a dintput gamepad, so I decided to write this guide. (And sorry for my bad english)
1) Download x360ce[www.x360ce.com] (32bit version). This is popular Xbox 360 controller emulator
2) Place x360ce.exe in game folder
3) Connect your gamepad
4) Launch x360ce.exe. Program create file xinput1_3.dll in game folder
5) Let program autodetect settings for your controller
6) After that in program you can check how buttons works, change placement. Press "Save" on bottom and close program.
7) Rename xinput1_3.dll in game folder to xinput9_1_0.dll or game don't detect this file

8) Launch the game from Steam. You should hear system confirmation sound and "A" button instead of "Space" on startup screen. That means everything is ok.
9) Enjoy