Game controllers do not have "parallel port" interfaces. Most that I've had dealings with have either a "game port" or "USB port" interface.
If the Windows XP os itself does not provide automatic support for this device, you're out of luck since no XP driver has ever been written for this device.
If the port you're connecting it to is built into the motherboard, you must make sure the device is "enabled" in BIOS setup. If it connects via a normal "game port", it should be detected/installed automatically without user intervention providing the port is enabled in BIOS setup and visible in Device Manager under Game ports and contains no flags.