you don't provide much details like your platform type, wince version....
If you add the HID mouse driver to your CE OS, it should support USB mouses
I am now talking about wince5.0 and x86 based platform. I see no reasen why
other platforms shouldn't either.
You need a application with a vertical scrollbar to see the effect of the
wheel. You can open a folder in explorer with a lot of subfolders. If they
fill the whole screen, you will get a vertical scrollbar. If you rotate the
wheel, the scrollbar should move.