Yep, thats the one. It can be configured either as 'SPI' or I2C'. You'll want it as SPI, and its configurable for clock phase, datarate, and a few other gubbins that might be useful. YOu coudl just experiment with those settings to find the one that works for your controller. Its in fact a very handy module, I've used it for I/O expansion using cheap (really cheap) logic shiftregisters, and the code in the PIC is about 16 lines long (which is why I brought up the shift register thing). But its not great at being a slave, although it does work. I think your controller will be the master, that is, it provides the clock source for the transfers, all the PIC does it read in the data.
Theres plenty of info on google. It's probably easier to just read the data from it and light up some led's or whatever, rather than converting it to another format. If you want a 'test' routine, what I usually do with devices that output unknown data is, write a little prog that displays the data on a generic character LCD, in hex. Because usually it'll send a set character for whatever button/analogue stick you're pushing, and then the value of that input. So if you just display the first 3 placeholders as the first character, then a space, then the second etc.... any rapid changes in the data (btw, it sends data very quickly) will appear on the LCD to quick for you read, but the set characters won't change. Analogue sticks are just two potentiometers, whose position is converted to digital inside the controller, so expect a 'stationary' analogue stick to have a set value, somewhere in the middle, like 77h(x) 77h(y) or something.
I know that probably sounds complicated but its handy for debugging things. You could always just sent the bytes it gets from the controller to a UART and send to a PC with hyper terminal to see the output, although because of the speed differences of the two interfaces, you'll probably have to set up a buffer, and then things get a little tricky.
I'm sure google has the answers, and I've seen some code for exactly what you want, but I don't have the link.
Goodluck, and sorry for the rant.
Blueteeth