We can fix this problem by changing mouse wheel setting in Control Panel.
I am using WindowsXP, so I go to Control Panel => Mouse => Wheel tab.
Click Exception button, and add autocad executable (acadlt.exe) into the exception list.
Press OK few times until Mouse property windows closed, and go back to AutoCAD to test zoom function using mouse wheel.
If it is still not working, try to restart the AutoCAD program and test again.