So I was told any PC controller will work for the game. I recently purchased a STEELSERIES PC controller from GameStop only to find out I have no idea how to set it up, if at all possible. Does anyone know how to set-up the game to work with the controller or is it even possible?

When dealing with computers, the answer is generally always yes, it's ''possible'' but it hinges somewhat on your technical know-how.

Do you have your gamepad hooked up and recognized by Windows? Once the gamepad is functional, you can use it with New Vegas via:
http://code.google.com/p/x360ce/

Which lets any gamepad impersonate an Xbox controller.

Queue