In Ubuntu when you rotate mouse wheel while mouse pointer is in a region (for example you can volume up or down without any click while you rotate mouse on volume icon in system trey), that region gets focus. Is there any way to force Windows to treat similar Ubuntu?
There are some tools like KatMouse or WizMouse to scroll elements under the mouse pointer without having to focus them first. There are also other tools like AltDrag or Taekwindow which offer this functionality as well but their primary function is to enable Alt + Drag/Resize on Windows.
If you want to focus the window under the mouse pointer you may want to try the following: "Control Panel" - "Ease of Access", under the heading "Make the mouse easier to use", there is an option "Activate a window by hovering over it with a mouse". Kinda like X-Mouse.
In case you want to use your scroll wheel to only adjust the volume you may need another tool like VolMouse. I don't know if there are any compatibility issues with the other tools I mentioned, though.