Under XFree86 v.3.x.x I just added the following lines to the /etc/X11/XF86Config file:
protocol "IM/PS"
ZAxisMapping 4 5
Delete any lines referring to three button emulation and restart X.
Things that are native gtk + (like Gnome) will recognize and allow you to use the mouse without any tweaking. Things like Netscape, probably where you really want the wheel to work, require either the code entered into your /home/<user>/.Xdefaults file, or running something like imwheel. Mandrake has an rpm for imwheel.