It works, but not with all games.
Microsoft's "Games for Windows" all do work with the 360 controller. Other games you have to get a mapping software. I had a good experience in COD4 with a program called "Pinnacle Profiler" but had trouble finding a free version. Also, I got a mx518 mouse, as you need that edge in online multiplayer.
But for games like Bioshock, Gears of War etc. the 360 controller is awesome. (especially since it gives you rumble).