On the linked page, I clicked "Download this driver now!" and then on the page that came up I clicked on "click here to download" and then I was prompted to register. That's where I stopped. So, then I googled this (quotation marks and all)
"Microsoft SideWinder Precision Racing Wheel" and "drivers"
and came up with a windows KB article.
http://support.microsoft.com/?scid=kb;en-us;297402
Searching for drivers used to be easy. Now it's become a royal pain.
The not connected message is kind of weird since it lists your wheel. I mean, how would windows know it's there if it's not connected.
Anyway, if it was me, I'd check, double check and triple check all the wires are plugged in correctly. Then, I'd create a restore point (if you can) and first try the knowledge base article and if that didn't work I'd register for the download using a bogus email address to avoid the spam and then try that. I mean, if it's not working, what choice have you got? If it totally messes you up, just reinstall again. It's not like you've got months or years invested in this installation yet. And if none of that appeals to you, you can always go out and buy a new wheel and send your old one to me ;-)