FMS is always free so I imagine you bought a controller box and lead with the FREE software. I'd guess the software is out of date, if you look under Help/About it will tell you the version. If it's not Version 2 Alpha 8.5 then that's the one to download.
If you've plugged the controller in correctly and it doesn't calibrate either in Windows or in FMS then it may be broken....they are generally incredibly easy to get working.
Steve