It may be the game doesn't support joysticks, which would be pretty darn silly... make sure you don't have two different types of controllers plugged in at once, for example a gamepad and a joystick -- that can cause the trouble you're having.
Assuming you don't have mult controllers connected, try the game with the mouse (joystick unplugged) and see what happens... then hit up the readme file, and/or online support for patches and suggestions. It's highly unlilkely that returning the game for a new copy will resolve the issue.
Actually, here's a snip from teh review on gamespot...
"Flying planes in Blazing Angels is kept pretty light, though the mouse-and-keyboard control is totally inadequate. Given the game's console roots, your best bet is playing with something resembling a dual analog joystick. If you have an Xbox 360 controller, the buttons for that controller will appear onscreen, but you'll still have to configure the buttons to your liking. Considering that you aren't able to configure the controls in-game, you'll have to quit out each time you want to change something, relaunch, watch the StarForce check, button past all of the intro screens, and then reselect a profile just to get back into the action. That process gets awfully annoying as you're trying to feel out what the best control option would be."
So unplug that joystick, and try the keyboard and mouse or plug in an Xbox 360 corded controller if you have one...
