The games that support controllers, such as Xbox 360, will say "full controller support" somewhere in the game description on the game page. Games that I own that have Xbox 360 controller support are Portal 2, Section 8: Prejudice, Deus Ex: Human Revolution, Alan Wake, DiRT 2, Batman Arkham City, and LIMBO.
On your Xbox 360 controller, press and hold the Connect button located on the front of the controller. The Xbox Guide button will start flashing. Release the Connect button on both the receiver and the controller. The light on the Xbox 360 Wireless Gaming Receiver should stay lit, indicating a successful connection.
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