how to get the input from my Cyborg evo Wireless Joystick

Hi,
I have a Cyborg evo Wireless Joystick (http://www.saitek.com/uk/prod/evowireless.htm)and don't know how to read his input. I read everywhere about directX input and microsoft directX sdk, xna.
I would like to do a program almost like this one:
http://www.youtube.com/watch?v=M_sCpAmVn1Q
but with an other interface and more controls.

I don't know where to start to learn functions, libraries and stuff like that, like in c and c++, for directX SDK and XNA.

I know c and c++ basics. I made small programs with 3 classes maximum.:D


tanks!
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