Your error code is:
HRESULT: 0x80070057 (2147942487)
Name: E_INVALIDARG
Description: An invalid parameter was passed to the returning function
Severity code: Failed
Facility Code: FACILITY_WIN32 (7)
Error Code: 0x0057 (87)

Try calling CreateEffect with NIL DIEFFECT:
[pascal]Result := g_pJoystick.CreateEffect(GUID_ConstantForce, nil, g_pEffect, nil);
if FAILED(Result) then Exit;[/pascal]
If this succeeded then error is in customizing your DIEFFECT record.