First, find your Program Folder for AoE3. It will be in one of these two locations, depending on whether you have a 64-bit or 32-bit OS:
For a 32-bit OS:
C:\Program Files\Microsoft Games\Age of Empires III\
or
For a 64-bit OS:
C:\Program Files (x86)\Microsoft Games\Age of Empires III\
If you don't know whether your OS is 64- or 32-bit, just check each location; whichever exists is the one you want.
Once you're there, navigate to the Startup folder inside. This is the folder that you'll put your user.con in.
Minimize that, and open Notepad. Copy and Paste this text into your blank document:
map("mousez", "building", "uiWheelRotatePlacedUnit")
Go to File -> Save As....
Erase *.txt in the File name entry field (the red box in the picture) and type user.con.
Change the Save as type dropdown menu (blue box) to say All Files.
Now your screen should match the green box in this picture:
Save it on your Desktop, or somewhere else that you can find it. Then bring up the folder I had you navigate to earlier and drag it in there. It may prompt you for Administrator permission; that is alright. Just allow it to do whatever it needs.
Then, go ahead and start up Vanilla. You should be able to rotate buildings using the mouse wheel.