"Harry Potter and the Order of the Phoenix" natively supports the use of an external PC game controller during regular play. If your PC game is not recognising the controller that you have attached on your computer, this means that the controller is configured incorrectly, not the game. You will have to verify that everything is set up properly in order to use your controller with "Harry Potter and the Order of the Phoenix" for the PC.
Check your controller's connection to your PC. Most modern PC game controllers connect to your computer via a USB input. Follow the cable that is attached to your controller along until you see where it is plugged in on your computer's case. Make sure the cable is plugged into your computer all the way. If it isn't, your PC (and therefore, your game) won't be able to recognise it.
Install your game controller's software. Along with your game controller came a CD-ROM. Put this CD-ROM into your computer and click "Install." This software needs to be installed on your computer so that Windows can recognise the attached controller. If Windows cannot recognise the controller, your "Harry Potter" PC game isn't going to be able to recognise the controller.
Make sure that your game controller is selected in the "Harry Potter" PC game's menu. Pause your "Harry Potter" game and enter the "Options" menu. Under "Controllers," make sure that your game controller is selected as opposed to your keyboard. You have to manually select your game controller in order to use it -- the game isn't going to automatically let you use it just because its attached to your computer.