NOTE: The DirectX 5 Joystick Icon will be labeled "Game Controllers" If you have the Game Controllers icon please use it, instead of Joystick.
This is not very common but tells us that you have either never had a joystick connected to your Windows 95 system or it has been removed. You are going to need to use Add New Hardware through the Control Panel to add in the necessary Windows drivers.
1.) Click Start followed by Settings and then Control
2.) Double click on "Add New Hardware".
3.) Click Next to begin adding your new hardware.
4.) Click No, you do not want it to automatically search.
5.) Click Next.
6.) Scroll to the bottom of the list to "Sound, Video and Game Controllers", then click next.
7.) Scroll down the list and select "Microsoft".
8.) Locate and select "Gameport Joystick" and click Next.
9.) At this point Windows 95 may ask you to insert your Windows 95 CD or a specific disk.
10.) Follow the prompts. When finished copying files click on Finish.
11.) You will probably be prompted to reboot your computer.
This will install the Joystick Icon into your Control Panel
If you experience any problems with this procedure please visit the Microsoft Knowledge Base and search for "Installing a Joystick".