Depends on the game. First you need the drivers, which you can get off Microsoft's site. Some games have native 360 controller support and recognize it immediately, like Mirror's Edge and Crysis and pretty much every GFWL game. Some support the controller but don't show the 360 controls onscreen properly, like Saints Row 2 and NFS Shift (the demo, anyway; not sure how it is for the full game). The rest you'll need other third-party software to be able to use the 360 controller, like XPadder, which maps buttons to different keystrokes.
Windows Vista/7 have built in drivers for the controller, and Im pretty sure it works as a normal controller for most games. So you will have to assign buttons and such for some older games.
For full programmability, you'd need to use the XBCD drivers for more flexible DirectInput control and GlovePIE for scripting, as well as an XInput emulator to regain specific X360 pad support in newer games (although likely at the cost of rumble).
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