Not sure why, but MS chose not to display the MouseWheel event in the Event box. However, it is quite easy to hook it through the editor.
Assuming you're using Visual Studio 2005 or 2008, it's an one step process, really -
1. In the constructor of the Form / custom control, type - "MouseWheel+=", and press TAB twice. Once for completing the statement, and again to insert the handler in the class.
It's that easy! Told you, it's one step process.