Im not familiar with the axgrid. Does it not support mousewheel scrolling by itself? If it doesnt, you should write them to ask that they add it as thats very standard.
If they dont want to add support, you may have to subclass the control - something Id advise against if at ALL possible. I dont believe there are any native .NET events that give you the mouse wheel position for you to tracking scrolling with.
-nerseus