How to set weapon switching with mouse wheel?
This only works with the keyboard.

Go to "Options" then to "Mouse" and there enable "Wheel Weapon Change".

Wheel Weapon Change in already ON, but when I speens mouse wheel, nothing happens.

Yeah I just noticed that the game seems to have problems with Logitech mouses (and mabye some others). Anyway there is this thread here: https://www.gog.com/forum/blood_series/blood_2_mousewheel_not_working

Give it a try. Maybe that will help. I'll definitely forward this problem to GOG support. You should do it do. The more people asking for a fix the higher the chances that it will be fixed in the future.