I have a Microsoft wireless laser mouse, and when I use the scroll wheel I can HEAR it through my headphones which are plugged directly into my computer. The mouse is creating some kind of interference with the headphones but I'm not sure how to fix it.
It basically means that your headphone cable is improperly shielded or the laser mouse is electrically noisy. Some people claim that ferrite beads might help with such interference, but it depends on the frequency. They're dirt cheap so its probably worth trying.
I'd note that this dosen't happen with many headphones cause they use a shielded cable - but changing the cable is probably too much of an annoyance.
The problem appears to be caused by the wireless signal being picked up in the headphone's speaker coils or cables. This may be relevant: There appears to be a poltergeist in my speakers (no, really). See also this article on Computer Hope: http://www.computerhope.com/issues/ch000411.htm. The coils in the embedded speakers can pick up wireless signals like an antenna if it is not properly shielded because the coil is electrically a very long cable and is very effective at picking up radio signals; the cable connected to the computer can also cause this behavior if the computer case and parts transmit the signal. For the same reason, a cell phone can cause beeping sounds in speakers.
Try moving the headphones away from the mouse. If this fails, try another pair of headphones.