One thing I thought I'd mention:
If you create and open a dialog like a OpenFileDialog (or probably any kind of Form using the ShowDialog method) on Windows, close the dialog and then return to your main window on which XNA renders, the scroll wheel might stop working. I saw this bug on two machines up to now, yet on my primary development machine it doesn't occur. The mouse buttons and movement still work, but not the mouse wheel... wierdest bug ever.
The fix I found was that after the dialog has been closed, you need to set the Mouse.WindowHandle to IntPtr.Zero and then back to Game.Window.Handle. You need to feed a zero pointer before setting it back because else the setter won't see a change in value and it'll have no effect.
Since this occurs on some machines and others not, I suspect it's a .NET framework bug, since the two machines that have the bug aren't up-to-date with Windows Update. Still, making the fix doesn't hurt and prevents the bug.