Thanks to Google, I've been able to find these answers!

I bought a Microsoft Laser Mouse 6000 for my iMac at home, but the response was
too slow so I gave up and brought it to work for my linux workstation.  It
almost worked out of the box, but a few changes needed to be made.

The applies for X.org (/etc/X11/xorg.conf) or XFree86 (/etc/X11/XF86Config):
Section "InputDevice"
    Identifier  "Mouse"
    Driver      "mouse"
    Option      "CorePointer"
    Option      "Device"           "/dev/input/mice"
    Option      "Protocol"         "ExplorerPS/2"
    ## We could use Auto, doesn't really matter
    #Option     "Protocol"         "Auto"
    Option      "ZAxisMapping"     "4 5"
    Option      "Emulate3Buttons"  "true"
    Option      "Buttons"          "7"
EndSection

With at least the Laser Mouse 6000, the wheel pointer events need to be switched
with the thumb buttons (6 & 7).  To do that, we need to create an .xinitrc in the
home directory we'll login with.  Add the following to .xinitrc:
   xmodmap -e "pointer = 1 2 3 6 7 4 5"

Now the wheel will work!  If it isn't working, start up X and run "xev".  This
will display all the mouse events (movement, button clicks, wheel scroll, etc.).
Move the mouse over the window and test the wheel up and down.

Here is an example of my output:

ButtonRelease event, serial 28, synthetic NO, window 0x1c00001,
    root 0x60, subw 0x0, time 3719608000, (84,103), root:(1915,536),
    state 0x810, button 4, same_screen YES

ButtonPress event, serial 28, synthetic NO, window 0x1c00001,
    root 0x60, subw 0x0, time 3719611816, (84,103), root:(1915,536),
    state 0x10, button 5, same_screen YES


You can see button 4 (which is wheel scroll up) and button 5 (wheel scroll down).
If it's different for you, just adjust your .xinitrc file.