The directional-pad/POV hat usually does that to you after lengthy gaming sessions which is why you should get used to using the left joystick for maneuvarability and movement--just takes a little practice--or practice maneuvering your chars without using so much force on the directional pad. I would recommend that you get an HID-compliant PC controller pad like the one i have below--it is, by far, the most consistent with winMUGEN:
nYko Air-FLo EX
*The thing I love most about the air-flo ex is that theres an internal cooling device and specifically designed air channels throughout the control-pad that can be switched on (2 speeds) to keep your hands cool and dry, total gaming comfort--a controller all serious gamers should look into! It's priced normally for about $40.00 to $50.00 (I think) but luckily, I found mine for $12.99 plus $6.00 (priority mailing) on pricegrabber! 
Unbound, Unlimited, Forever - - 無限
