You'll want to plug the USB cable into the USB port. If the gamestick came with a disk, unplug it and install the driver then replug it. Most FPS games support a gamepad/stick to make the enviornment a little user-friendly.
Check your game to see if it supports the use of a gamepad, you can look on the developers game site, or on the back of the game box.
When you start the game, go to "Options" or "Settings" and the use of a gamepad should be under "Controller" or "Controller Options". The name will usually vary.
When you find it choose the option for a Gamepad.
I Created my own gamepad out of an Xbox Controller S, works in emulators and in MUGEN.
Hope I helped.
Please have a look at my question.