I have exactly the same problem.
LIke the poster above mentioned, you need to hit Alt+o in flight and then choose joystick and hit save settings... If you need to calibrate the stick this has to be done in windows itself, not within the game since this is the windows version using directinput or whatever it's called. If you are using win7 you go to "devices and printers" in either the start menu or control panel.
If you have done this and it still doesn't work make sure the stick you want to use is set to the default game controller in windows. Also if you have multiple usb input devices and controllers other than your mouse, try unplugging and of the ones you aren't using.
Yes i did all that, and didnt work... at the end as i have 3 different controllers, the game worked very fine with a pad instead of the joystick, strange as with the joystick WC3 works better than with the pad. The 360 controller was also not detected by WC4. At the end the pad detected was an old wingman rumblepad, but it´s pretty nice pad to play this game.