I just got pj 64 and the zelda rom.
It all works fine (or so I think), but it alway stells me "no controller"... (I can't configure the control plug in either, it says it is not found. I do have a folder full of the plugins needed)
In the controller configuration panel, there is a check-box that reads "plugged in." Make sure that is checked, and if you're using a gamepad you'll need to select it from the drop-down list. Otherwise leave it at "none" and use the keyboard. Then configure the controls to your liking.