I turned off the visual effects on my laptop (system->preferences->appearance), and since then I can't switch between my desktops using the mouse wheel (but I can with key combination). While the effects was on, it worked. Does someone know why is this? Can this be a problem with some driver?
Switching off desktop effects changes your window manager from compiz to metacity.
The settings between the two separate window managers are independent, which is why the functionality has changed here.
To set the mouse wheel to switch between desktops, is not an obvious thing to do, but you can change it in gconf.
Press Alt+F2 to open a run command dialog box and type gconf-editor. Press return.
Use the tree navigation on the left to browse to apps/metacity/global_keybindings/switch_to_workspace_left and apps/metacity/global_keybindings/switch_to_workspace_right.
These values need to be set to Button4 (for mouse wheel up) and Button5 (for mouse wheel down) respectively.
I found some information here that may help.