You can't, the driver lights up a segment based on which controller number each controller is allocated. At least its not possible in the current DirectX SDK (December 05 at time of writing) see post in directx-l. Chuck believes that there *may* be some future plans to expose it in a later API so keep your eyes peeled.

However this post implies that if you do some searching and you are a very low level driver/USB programmer you may be able to hack something together. Of course it would not be a supported or documented API.