It should be a first-time thing, at the very least - the first time you run the game, config.exe jumps in and lets you see/reconfigure the controls before you start. That said, I had the common sense to bring it up first and reconfig the game to use my gamepad. :3
Alternately, the game should provide a little splash panel every time you double-click the .exe: "Start Game", "Options", "Exit", that sort of thing. Like a disc-based game's Autorun menu.