PES2012 is now supported, starting with the second release of THD (version 1.0.1.5).  You can use the Xbox 360 joystick like on-screen control in order to control the game.  This on-screen control has more potential to be used for other games like FIFA, Rayman Origins, etc.  But you need to manually change the 'control setting' for a game to use the same 'keys' as our on-screen control.

Please check http://support-remote.splashtop.com/entries/21229872-thd-manual-instructions for instructions of THD.