Of course it works with FSX! I have one, and it really kicks butt, especially at this price <g>. The feeling at taxi, takeoff and landing is very realistic. You can also feel the gear going up and down and the flaps. Impressive for such a simple but clever device.
Flightsim.com had a very good review which convinced me to buy one and I never regretted it. Se links to the review at the bottom of this page: