If I remember correctly, it's just plug and play.
It depends on the stick. Some of them work while others have issues with certain USB chipsets. I know this is true in SFxT, not sure if it carries over to other games as well.
Not really sure. I imagine your best bet would be seeing if they work with http://www.motioninjoy.com/
Okay so did some digging around in case anyone was interested.
From the MadCatz website:
The PS3 SFIV TE/SE FightStick and FightPad does not officially support the PC, but it should work with PCs that do not make use of a NVIDIA® chipset. If a workaround is discovered, we will post more information for you here.
It seems as if these fightsticks only work on UHCI - USB 1.1 Proprietary Intel Standard so people running on Nvidia/AMD chipsets won't be able to use their fightsticks without first purchasing a USB PCI card with the VIA chipset >_>
The 360 versions however have native plug and play capabilities due to XInput. Yay for deciding to buy PS3 fightsticks instead of 360...