I had similar over-sensitive rudder problem with FS2004 on the same
machine that did not have the problem with FS2K. I use the MS
Sidewinder joystick.

When I tried changing the rudder sensitivity inside FS it barely made
any difference to flight, although I noticed in slew mode, my ability
to turn with rudder was very much affected by the setting change.

On XP with Sidewinder it stores profiles per game so you can have
adjustments to sensitivity and settings on a per-game basis (is that a
Sidewinder thing, or is it part of XP's joystick calibartion tool?).

One thing that helped, was playing with the joystick profile outside
of FS. I seem to remember there was some way of picking a previously
created profile for another game (?) when you select the profile you
want to use with FS2004, and either making sure I used a separate one
for FS2004 or the same one as FS2K which used to work fine (I cant
remember which way round it was) made a difference.