I dunno for sure, but it could be that the BIOS wasn't written to accomodate the SSE in the chip and that the utility you run was written to overcome the BIOS's shortfall. Where did you get this utility?
Another question would be, is the utility for enabling SSE in Windows only, or does it enable SSE for all apps that can use SSE? Windows Media Player doesn't recognize the SSE in an Athlon4 or AthlonXP without being tweaked, is that what this utility is for?
If you are manually starting the utility everytime you start Windows, just put a shortcut to it in the Startup folder. That way Windows will always load it automatically when it boots.