Java Code:
import java.awt.Color;
import java.awt.Container;
import java.awt.event.MouseWheelEvent;
import java.awt.event.MouseWheelListener;

import javax.swing.JFrame;

public class MouseWheelTest extends JFrame {
  private static final Color colors[] = { Color.BLACK, Color.BLUE,
      Color.CYAN, Color.DARK_GRAY, Color.GRAY, Color.GREEN,
      Color.LIGHT_GRAY, Color.MAGENTA, Color.ORANGE, Color.PINK,
      Color.RED, Color.WHITE, Color.YELLOW };

  public MouseWheelTest() {
    super();
    final Container contentPane = getContentPane();

    MouseWheelListener listener = new MouseWheelListener() {
      int colorCounter;

      private static final int UP = 1;

      private static final int DOWN = 2;

      public void mouseWheelMoved(MouseWheelEvent e) {
        int count = e.getWheelRotation();
        int direction = (Math.abs(count) > 0) ? UP : DOWN;
        changeBackground(direction);
      }

      private void changeBackground(int direction) {
        contentPane.setBackground(colors[colorCounter]);

        if (direction == UP) {
          colorCounter++;
        } else {
          --colorCounter;
        }

        if (colorCounter == colors.length) {
          colorCounter = 0;
        } else if (colorCounter < 0) {
          colorCounter = colors.length - 1;
        }
      }
    };
    contentPane.addMouseWheelListener(listener);
  }

  public static void main(String args[]) {
    JFrame frame = new MouseWheelTest();
    frame.setSize(300, 300);
    frame.show();
  }
}