Make the form implement IMessageFilter
and implement it as follows:
public bool PreFilterMessage(ref Message m)
{
if (m.Msg == 0x20a)
{
// WM_MOUSEWHEEL, find the control at screen position m.LParam
Point pos = new Point(m.LParam.ToInt32() & 0xffff, m.LParam.ToInt32() >> 16);
IntPtr hWnd = WindowFromPoint(pos);