No controller. It was "missing" when I got my stuff. Along with my soldering equipment.
WTF, thats bullshit, so what are ya gonna do now?
THE BEST METHOD to run PSX games (and everything else for that matter) is via Retroarch - http://buildbot.libretro.com/nightly/
If you have any questions on how to set it up on Windows please feel free to ask, its very easy.