Here is a easy setup guide on using a PS3 DualShock 3 Wireless Controller on Windows.

I have only tested this on Windows 7 SP1 x64

Before continuing you will need a Bluetooth Dongle Compatibility with MotioninJoy if you want wireless support.
I recommend the TRENDnet TBW-107UB. (PlugNPlay, no extra software needed.) It can be found at Newegg, Amazon and Fry's. Works up to 30 feet away.
Unfortunately cheap dongles you find on eBay will NOT work.
And you will need a Mini-USB cord. (DualShock 3 is Mini USB not Micro USB)

Installation and Configuration:

After you have the Bluetooth Dongle connected to your computer, download and install the MotioninJoy software. [Direct Link] [Official Website (Download version 0.7.0000(testing)]

After installation, follow this guide (Connect controller via USB > Open DS3 Tool > Click BluetoothPair > Click Pair Now)

After it's paired remove the USB then click on Profiles on DS3 Tool. Select Xbox 360 Controller Emulator then click Enable.

That's it! Your DualShock 3 Wireless Controller should now work on supported PC games like GTA IV, Need for Speed World, Street Fighter IV and Saints Row the Third.

Here's a XFCE Ambiance Style Theme I made for Windows 7.
[Note: This Theme will disable Windows Aero.]
Wallpaper is GNU from Xubuntu 9.10 Karmic Koala.
Download Here

Software You Need: 7-Zip, Pidgin, Web Browser, Windows 32 or 64-bit.

Edit Jan.19.2013: Link on step 4 is 404. Download a zip containing en_US.aff and en_US.dic Here.

1. Open CMD as Administrator.
2. In CMD, enter cd %ProgramFiles(x86)% if your on an 64-Bit OS or cd %ProgramFiles% if your on 32-Bit. Hit enter.
3. Type in: mkdir pidgin\spellcheck\share\enchant\myspell\ then hit enter.
4. Download and save the American English Dictionary to your Desktop.
5. Open the Dictionary's .oxt extension inside 7-Zip.
6. Open %ProgramFiles(x86)%\pidgin\spellcheck\share\enchant\myspell\ in Windows Explorer.
7. Extract en_US.aff and en_US.dic to the myspell folder.
8. Restart Pidgin.