MSVC does not define __SSE3__ and other related macros but it is automatically including the SSE header files, when the header <intrin.h> is included which we do in Eigen/Core.
Since all available SSE headers are included, the include guards should be available and set after including <intrin.h>. I created a patch which checks for the respective include guards and then define the corresponding Eigen definitions (EIGEN_VECTORIZE_SSE3, ...).
A patch is attached.
*** This bug has been marked as a duplicate of bug 136 ***