Hav'nt played Q3 in a while, but I used to get this issue regular where settings didn't "stick".
If the above suggestion doesn't work then;
1. Open "q3config.cfg" in your text editor (Notepad or such NOT Word)
2. Scroll down till you see
CODE
bind MWHEELDOWN "weapnext"
bind MWHEELUP "weapprev"
make sure it's as you want.
3. Save the file and close editor.
4. set the attributes on the file to "Read only"