there are MANY throbbers to choose from on the <a href="
http://kmeleon.sourceforge.net/resources/">resource page</a>.
it's also not too hard to roll your own; it's just an AVI file named 'throbber.avi' in your profile folder... i don't think most compressed AVIs will work, though (somebody correct me if they know better).
as for the scrollwheel, it's been discussed many places on the forum; it seems to be dependent on the mouse driver. mine is a logitech with v 8.x drivers, and it works fine. probably yours could be made to, also, with some adjustments. note that the focus MUST be on the page for the scrollwheel to work, in general, and that pages are NOT given focus upon loading at this point, so you might have to click on the page before the wheel will work. good luck.