The Rat Shack ones work under XP, but they're limited to being usable on basic joysticks. In their credit their adapter is switchable so you can use it on a stick, yoke, steering wheel, and a simple gamepad.
The problem is the gameport standard was written for a 2 axis 2 button stick, and companies like CH, Thrustmaster, ect all used different means to overcome the limitations. For instance Thrustmaster hat switches are wired up like a joystick axis, each direction sends a different resistiance and the driver interpets these into directions. CH hat switches use a combination of different button presses, which their driver interpets. The problem is XP drivers for thes old sticks don't exist so even if you hook them up through an USB adapter most of the buttons will be ignored or cause unexpected results.