SSE stands for "Streaming SIMD Extensions" (and SIMD stands for "Single Instruction, Multiple Data"). It's an extended set of CPU instructions, designed to process more efficiently multimedia streams (audio, video, 3D...) which main characteristic is precisely to deal with a lot of data going through repetitive sequences of instructions.
SSE2 offers a further extended instruction set to SSE which allows to supersede the old MMX instruction set.
Modern i686 class CPUs offer SSE2 (and of course MMX and SSE, and sometimes SSE3, SSSE3, SSE4, SSE4.1...). However, older i686 class CPUs, such as the Pentium 3 or the Athlon XP do not provide SSE2 support.
You can find out by looking at the log file of the Cool VL Viewer v1.26.0 (at the start, you should be able to see your CPU identification, perhaps with mention of "sse2", depending on your OS, and every time a line with "INFO: updateVectorize: Vector Processor", followed with "SSE2" when your CPU is SSE2 capable).
You could also try to run the Cool VL Viewer v1.26.1: if it works, you got SSE2, if it does not fully start and complains about the lack of SSE2, then it's bad luck for you.