I just did that to my Xbox controller two days ago. If I had a camera, I'd take a picture or something, but I followed this tutorial: http://www.ocmodshop.com/default.aspx?a=223
It looks really nice and works well for NFSMW.
Anyway... back to the topic... I didn't know there was anything for the remote either. My guess would be that you need some sort of driver, but if it says that it's plug and play, then I don't know. Search Google for a driver and see if you come up with anything. E-mail or call the person/company/whatever you bougt the adapter from and ask them what you need to do to get it working. Also, make sure you have all the necessary Windows updates.