I haven't been able to find a definitive answer of what SSE does, but it stands for Streaming SIMD Extensions
SIMD means "Single Instruction Multiple Data", which means being able to manipulate multiple pieces of data with a single instruction, as with matrix calculations (and since matrix calculations form the bulk of the processing in 3D apps, SIMD instructions can provide a useful boost for 3D!) Any application that requires the application of a single formula to multiple pieces of data, such as video processing, speech processing etc. will benefit from SIMD instructions.
Streaming tends to refer to video, and in fact Intel originally started to refer to SSE as "Internet Streaming SIMD Extensions" - so I would guess that SSE was targetted at MPEG (sound and video) encoding/decoding. The original plan by Intel was to sell processors based on what they could do to the browsing experience, but they forgot that any process is only as fast as its slowest link - and in the case of the Internet, the limiting step is not the processor, but the speed of the Internet connection!
The main difference between SSE and MMX is that MMX was integer based, whereas the SSE instructions are floating point based.
Hope this helps - if you need more info, try looking on the Developer section of the Intel website.
Rgds
AndyF