Using keyboard arrow keys and enter, go to options > controls. Setup your controller input, its not automatic, you will have to assign buttons. Before that, I recommend either leaving player 1 as keyboard or setting another player to keyboard so you always have a viable input device. If you mess up and can't input anything, delete the game folder and re-extract it.
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To be precise, first your controller must be plugged in and turned on before starting the game, and once you have clicked on Change, you have to press the same button on your controller twice AND not all buttons on all controllers will work for that. Only once a controller name appears in the textbox above, you can configure keys.
And omg wtf no, you don't have to delete the entire game folder!!! You only have to delete the input.ini file, and restart the game!