There's something broken in Windows. (Insert your own joke here.) Specifically, mouse-wheel scrolling doesn't work the way it should, by which I mean you can't just point your cursor inside a window and start scrolling. Instead, you have to click in that window first to bring it into "focus."
Madness! Fortunately, I've found an easy fix: WizMouse, a free utility that makes your mouse's scroll-wheel work wherever you point your cursor.
I'm using this full-time now and can no longer live without it. The program works exactly as advertised: Just point your mouse at a window and spin that scroll wheel. There's no need to click first. I know it sounds like a minor thing, but I didn't fully realize how much this click-first business annoyed me until I started using WizMouse.
The program can also optionally add wheel-scrolling capabilities to programs that don't support it.
Sure wish this obvious functionality would find its way into Windows 7. Whaddaya say, Microsoft?