Make sure the controller is plugged in before you start the game.
Make sure Windows is recognizing the controller. From Windows Start menu, go to settings and then devices and make sure the controller is working.
In Score Mode after game starts press the Tab key to open the menu and make sure the inputs are set correctly.
If you aren't trying to record a score try this link -
https://cloud.retroup.com/beta/menu/index.html - controllers will work better there.
If none of that works then post a Game, System, Play Mode, and controller that you are having trouble with.