There are 2 ways I know of. The first is to connect and configure your controller through Steam. I believe that you'll have to add Project Wingman to Steam as a non-Steam game and launch it from there for this to work, but the controller setup seems pretty straightforward. The second option if you don't want to use Steam is to download and install DS4Windows to allow Windows to recognize your PS4 controller. In my case I also had to install PS4 Remote Play before my controller could be detected, but the plus side of this is that you can use the controller for any game, not just ones launched through Steam.
Hope that helps.