If you are trying to use two Xbox 360 X-plorer controllers, you may find that the second controller's strum button does not work in the game or in the 'Test Keys' area, but it does allow you to navigate the menus. What you need to do is de-assign the D-pad settings in the key config, for instance if you have configured Player 1 and Player 2 D-pads to be Up/Down/Left/Right, you need to remove those settings and assign them to a keyboard, and then assign the pick to strum down, and alternate pick to strum up. Well, you don't have to, but it makes sense… :)
Another Solution: Try using X-Padder, Link, and configure the strum buttons to a single key on the keyboard. Then it should work as well.