Looks like it's definitely an issue with SSE support (I think it's SSE2 that Athlons prior to the Athlon XP lack, but anyway...). I previously got the same error message, but now I've upgraded to an Athlon XP and it works.
Only 4 days to go to the Xbox version, guys! At least, if you have an Xbox. And can source the game from the US. If not, then aging Athlon XPs are fairly cheap now, at least!