To listen for events that your scroll wheel sends you need to connect to the signal 'scroll-event'. The event structure has a direction attribute which will be one of:

  gtk.gdk.SCROLL_UP, 
  gtk.gdk.SCROLL_DOWN, 
  gtk.gdk.SCROLL_LEFT, 
  gtk.gdk.SCROLL_RIGHT

Example:

  def on_button_scroll_event(button, event):
    if event.direction == gtk.gdk.SCROLL_UP:
       print "You scrolled up"

  b = gtk.Button()
  b.connect('scroll-event', on_button_scroll_event)