Definitely, playing with the keyboard sucks.
You might want to use one of your Playstation Dual Shock (2) controllers.
You'll need a PS2/PC Controller Adapter like the Super Dual Box (Pro).
I use the Super Dual Box (which works perfectly) that I bought from this shop:
But they only sell the Pro version now.
I bought that as well for another PC and had some problems with it with PES5.
The in-game controller config didn't recognize my controller correctly with the SDB Pro adapter.
But it did from the Windows Pes5 settings utility.
And I had to change the button mode to make the d-pad work.
Analog worked fine.
Anyone else tried the Super Dual Box Pro with PES5?