Download the SDL configurator from the following link:
http://vboy.emuhq.com/downloads/SDLTest-Win32.zip
Run it and see if you get any numbers when you press the directions on the joystick. If so, post them here.
The only explanation I have is that either your joystick has a mode where it is not behaving as expected or you have some joystick program that maps the joystick to keys or something.
Another thing that changed from version 0.8 to version 0.9 is that VBA tries to configure the joystick range, which could potentially fail if the joystick driver does not work correctly.