First, disclaimer, This is an old microsoft wheel and IIRC never had proper drivers for windows 7. But when I plugged it the first time to my laptop, windows detected it and installed some driver, and at the gamepads at the control panel it seems to respond well, except that the axis setup is weird: wheel left-right is the X axis (middle when wheel is at the center), one pedal is the Y axis (0 when the pedal is fully up), and the other pedal is the Z axis (also 0 when that pedal is fully up).
So I tried it with GT4 after compiling it myself, and was able to see and choose my wheel at the config. First, for some reason, if I boot with the plugin enabled, PCSX2 runs very very slow (10fps) with the CPU at 3%. If I disable the plugin and enable it after GT4 starts, then it runs at full speed (120fps before the game starts).
Then, GT4 somehow detects the wheel. I can turn the wheel left and right, and it moves the cursor within the game. But the default driver in win7 somehow maps the axis badly as I noted above, so maybe GT4 had issues with it.
Then, in the game, it didn't respond to the wheel itself, but gas and break did work. However, gas was like on-off, and breaks was analog, but only over a very small range of the full range (like only uses the 45-55% section, where above it is 100% and below it is 0%).
Also, when I drove into a wall, I couldn't feel any force feedback whatsoever.
TBH, it's better than what I expected, though still not useable as-is with my wheel