Setting up MAME's files is easy, you don't even have to mess around with ClrMAMEpro.
ALSO, there are two issues mentioned in this thread.
On the topic of sticks, make sure the sticks are plugged in before you start MAME.
If they still don't work then there's something terribly wrong with those sticks because every USB joystick that reports its button and key mapping to Windows in a standard fashion should work.
You can try using PPJoy (which I haven't tested, just seen about the webz, so YMMV) or something similar (maybe Joy2Key will work?) to get a keyboard key mapping for your stick.
Other than that, I'm kinda surprised a 360 stick wouldn't work on a PC. My Mad Catz 360 stick works just fine (for programs that need analog sticks, anyway).