This one’s not a right or wrong thing; it’s just different.
On the Mac, scrolling instructions from scrollwheel equipped mice are directed at whatever window is below the cursor without regard to the current focus. This means one can have (say) a Word doc for notetaking open over a long web article, and scroll the article without clicking on the browser window and taking the focus away from the Word doc.
On Windows, no input is ever directed to a window unless it has focus. Using the scroll wheel on my mouse will scroll, or attempt to, whatever window has focus regardless of where my mouse cursor is.
I’m honestly not sure which I like better, but I sure DO wish there was a preference I could set on one or the other of them to make them both act the same.
(It seems likely that someone has developed the old X-windows focus-follows-mouse trick for both platforms, but seeing as how that paradigm makes me crazy, I won’t be going that route.)