This works on Vista Home Premium and above. Not sure about Vista Basic.
If you click the wheel on a wheel mouse, all the open applications appear in mini windows on the screen. Click one to go to it, or click the wheel mouse again to return to your original location.
I think that you have to download the software from Microsoft separately, because it used to work on my system until I uninstalled the software as it screwed games up. Download it here.
It also works in XP (and right back to W95 by the looks of things) but it disables any other functions related to pressing the scroll wheel such as auto-scrolling web pages or opening links in new windows when using IE7.
You can change it back (or select one of the other available functions) by going to Start > Settings > Control Panel > Mouse. The normal scroll wheel function is "middle-click".