As far as I know we have no specific SSE requirements.
Have you compiled Audacity yourself, if so from what sources exactly? Did you build release version or debug version?
If you downloaded Audacity, you could try uninstalling Audacity then reinstalling Audacity 2.1.0 from
Audacity ® | Download for Windows. There is a box “Reset Preferences” half way through the installation process - ensure you enable that box.
If you still see the problem after completing installation, try to enable a different compatibility mode for audacity.exe:
Make older apps or programs compatible with Windows - Microsoft Support.
You could also try reinstalling Service Pack 3: Windows XP support has ended - Microsoft Support.
Please also see: Important information for Windows XP users.
Gale