Did You already set up the controller in FFXI Config? If not, try it, it's easy to go through. Open the program, go to "Gamepad Settings," map the settings as You like, and remember to check the "Enable Gamepad" box. Test the controller before You leave the configuration program, it's best to know if box axis, the directional pad, and all twelve buttons are working correctly before going in-game.
A shortcut was most likely made alongside Your POL shortcut, so it should be easy to find, unless You like to keep Your desktop free from clutter like me, and delete almost all shortcuts on contact.
The default directory is:
Your Hard Drive wrote:
C:\Program Files\PlayOnline\SquareEnix\FINAL FANTASY XI\ToolsUS\FINAL FANTASY XI Config.exe