The answer is similar as for any other key, assign it to a function that does nothing. Except one assigns the location and direction combination, for example:
(global-set-key (kbd "<vertical-scroll-bar> <wheel-left>") #'ignore)
As there are a number of locations and direction combinations a nested while loop helps.
(let ((areas '("mode-line" "left-fringe" "right-fringe" "header-line" "vertical-scroll-bar"))
(directions '("up" "down" "left" "right"))
(counts '("" "double-" "tripple-"))
loc direction count)
(while areas
(setq loc (pop areas))
(setq direction directions)
(while direction
(setq dir (pop direction))
(setq count counts)
(while count
(global-set-key
(kbd (concat "<" loc "> <" (pop count) "wheel-" dir ">")) #'ignore)))))