Dzsono: You don't have to get an Xbox controller.
For much less you can get the Logitech F510. It is recognised by all games as being an Xbox controller right out of the box, with no configuration. Just plug and play.
P.S. Pro Evolution Soccer doesn't have any rumble feedback.
This.
I bought an F510 to replace my aging Saitek 360 controller and it was the best investment I ever made in a PC joypad. There's a toggle switch on the back that enables you to switch between XInput and DirectInput mode.
XInput is basically what recent Pro Evo games supports, the XBox 360 gamepad standard. It works fine as long as the game itself supports 360 gamepads.
DirectInput is the older standard and you will need it for older games and recent games that don't support XInput for whatever reason. It allows you to use the shoulder triggers as buttons instead of as a joystick axis (essential for some games like GTA 3/Vice City/San Andreas), provides force feedback in DirectInput games and allows you to use the mode button on the front to switch the D-pad and left stick around instead of having to go into the control panel each time.
The official Microsoft 360 gamepad has a great form factor in its own right, but it falls down badly with many older games.