It's not actually a wheel (it's spring-loaded, so you just push it in either direction), just made to look like it. I don't use it much, but it can be mapped to other mouse functions.
Edit:
Here's what it can do...
Document Flip, Zoom, Volume, Media, Thumb Scroll, Multiple Keystrokes (has 3 text boxes, one for each direction - forward, back, and pressed)