Making whole wheat bread in a bread machine? What kind of flour?
Bread flour has more gluten, which is a protein that makes bread stretchy and less crumbly when the dough is prepared right. There is plenty of whole wheat bread flour out there, and you can often get mixes which are specifically made for bread machines, I'd start with those and see how you go. If you cannot find them in your local store you might be able to find them online. 

You can also read the label on the back of the flour, higher protein flours generally mean they have more gluten. You can sometimes find non-bread flours that have almost as much protein as those marketed as bread flours, so next time you are at the store have a look.