You need to setup everything you want to use the controller with. For Mamewah, this means editing \ctrlr\default.ini (you need to map num.pad keys instead of arrows) - see \docs\ctrlr.txt for help.
For MAME you need to set 'ctrlr xarcade' in your \mame\mame.ini file. For other emulators chances are you'll need to setup the keys manually.