Under the system requirements it says that the CPU must have SSE (no pentium II's) Does anyone know what that means?

That your CPU must support SSE instruction sets for the program to work. I guess they could compile/code a version for not SSE chips, if they could be bothered.

I guess my question is - what is SSE mean and how can I tell if my chip supports SSE?

SSE = Streaming SIMD Extensions

If you had said what your chip was then I/someonelse could have told you. You could always just search for its specs though.