The Athlon64 2800+ for S754 supports SSE and SSE2, but not SSE3.
I wouldn't worry too much about not having SSE3 since very few applications support it. SSE2 will enable you to run stuff like SSF (Saturn emulator) and the SSE2 optimised versions of PCSX2 and gsdx9.
It's a 3D plugin for PCSX2. Just like PCSX2 itself, it comes in two versions - a normal build, and a build that requires SSE2. The SSE2 version will be faster than the normal version.