If you are expecting a game to automatically know to zoom-in/out with say, the mousewheel I'm afraid you are expecting too much.
To do that, you would need to bind the mousewheel up to zoom in- and the mousewheel out to zoom out. In games that don't have a concept of "zoom" you can often fake it by simply changing the FOV.
In general, the mousewheel is used in FPS games for changing weapons, not for zooming. Sometimes the mousewheel get's enabled for that function when you use a weapon with a scope or something (depends on the game).
Oh wait, we aren't talking about the middle mouse button/wheel, are we? Are we talking about some other scrolly wheel? Say on the right side of the mouse or something). In that case, the game may simply not support mice with such features. Most of the mouse-enabled games I play didn't let me bind anything to the extra two buttons I had on my old mouse.
