Having gotten heartily sick of this, it occurred to me that there might be a fix for it, so off I went a-searching. And yes, there is, from Microsoft themselves:
Add support for the scroll wheel to the Microsoft Visual Basic for Applications 6 environment
When you use the Microsoft Visual Basic for Applications (VBA) 6 integrated development environment (IDE) — also referred to as the Visual Basic Editor — to add or edit a macro or module in your Microsoft Office 2003 program, the scroll wheel on your mouse might not function. That's because VBA is based on the Microsoft Visual Basic 6 IDE, which does not include built-in support for the scroll wheel.
I love the way this is offered as if it's some sort of an explanation: This bit of our application doesn't work because it's built around another of our applications which doesn't work either. It's almost as if it isn't quite our fault. Note that this same explanation would work for every bug in every program ever. The Z key doesn't work when you're using Word, you say? Oh, that's just because Word is based on a program that doesn't support the Z key. Hope that helps.
You can use the technique discussed here to add support for the scroll wheel to VBA 6.
In short, you download a handful of files, register one of them, turn on a switch in VBA, and presto hey: it just works.
But why the hell is this necessary? It's easy to do — took me maybe four minutes — so one has to wonder why Microsoft don't do it themselves. Surely it would be easier for them to fix the damn application than it was to build a webpage telling us how to do it. After all, they have to do something similar for every other function of every application they build: the scrollwheel only works in all those other applications because there's a special scrollwheel file sitting somewhere on your hard drive, registered and switched on. Same goes for the keyboard, the screen, the DVD-drive, even the on/off switch of the PC: they all work because there's a file on your PC which makes them work. So why, in just this one case, do we, the users, need to install the Microsoft files which make the scrollwheels on our Microsoft mouses work in this Microsoft Application?
Ach, at least it didn't insist that I restart the machine.
Meanwhile, to use a PC keyboard on an Apple Mac, all you need to do is plug it in, download and pay for this rather nifty application, spend a while figuring our how to program the damn thing, and go: it just works.