Win7 - GS plugin failed to open/initialize

[dr_thrax]

It's nothing personal.
It's just annoying that there's a FAQ that addresses almost all of the problems and yet, no one ever reads it before asking questions.
And it's quite frequent...too frequent.

[DieHrd101]

I'm using vista and trying to play ff12. I get error SSE3.01 is not supported. I change config to SSE2. I click test it says success plugin is working perfectly. I click OK and close but it resets back to SSE3??? A couple of times Instead of SSE3 error i got the same GS plugin failed to open/initialize An unhandled or unrecoverable exception occurred, with the message:The GS plugin failed to open/initialize. Pcsx2 will now close. More details may be available via the emuLog.txt file. but mostly my problem is the SSE3 not supported. Any help is appriciated.

[Bositman]

...you need to read the FAQ too. Ironic that the post above you was about new people never reading FAQs.
The problem isn't that your processor doesn't support SSSE3 (3s not 2), it's that it doesn't save your changed settings (in your case, you changing the plugin to the SSE2 one).
Which gets me to the FAQ:

My settings are not being saved / Error creating memcard

Right click on pcsx2.exe and select 'Run as administrator' (Vista / Windows 7 only) and/or install PCSX2 on a folder you have rights to write (like My Documents)