You likely can't return it, so either use a PS2 controller or get a new pad. If it's a pad that came with the game you're better off buying a 3rd-party pad, they start at maybe $10-15. If you're willing to pay $40-80 you can get better quality pads.

Did you get the pad as part of the bundle (with the game) or was it purchased separately? Although either way, because you have the receipt you should be able to exchange it if it's still within the return/exchange period (anywhere from 7-30 days depending on where you got it).

They used to give you 14 days but now it might be only 7 so if I were you, I'd get it back to the store tomorrow if you can.

It's just like that because the pad feels rather slick. That's why it's usually better to put it on something like a carpet rather than a hard surface.

Yeah, I don't see why that wouldn't work.