diff --git a/plugins/GSdx/GS.cpp b/plugins/GSdx/GS.cpp
index 495e2f462e..e6cfea1f9a 100644
--- a/plugins/GSdx/GS.cpp
+++ b/plugins/GSdx/GS.cpp
@@ -127,6 +127,8 @@ EXPORT_C_(int) GSinit()
 	// can crash if the CPU does not support the instruction set.
 	// Initialise it here instead - it's not ideal since we have to strip the
 	// const type qualifier from all the affected variables.
+	theApp.Init();
+
 	GSBlock::InitVectors();
 	GSClut::InitVectors();
 	GSDrawScanlineCodeGenerator::InitVectors();
@@ -815,6 +817,8 @@ EXPORT_C GSconfigure()
 	{
 		if(!GSUtil::CheckSSE()) return;
 
+		theApp.Init();
+
 #ifdef _WIN32
 		GSDialog::InitCommonControls();
 		if(GSSettingsDlg().DoModal() == IDOK)
diff --git a/plugins/GSdx/GSdx.cpp b/plugins/GSdx/GSdx.cpp
index 878de1ff33..36ca03079e 100644
--- a/plugins/GSdx/GSdx.cpp
+++ b/plugins/GSdx/GSdx.cpp
@@ -127,6 +127,21 @@ GSdxApp theApp;
 
 GSdxApp::GSdxApp()
 {
+	// Empty constructor causes an illegal instruction exception on an SSE4.2 machine on Windows.
+	// Non-empty doesn't, but raises a SIGILL signal when compiled against GCC 6.1.1.
+	// So here's a compromise.
+#ifdef _WIN32
+	Init();
+#endif
+}
+
+void GSdxApp::Init()
+{
+	static bool is_initialised = false;
+	if (is_initialised)
+		return;
+	is_initialised = true;
+
 	m_ini = "inis/GSdx.ini";
 	m_section = "Settings";
 
diff --git a/plugins/GSdx/GSdx.h b/plugins/GSdx/GSdx.h
index 31a5cc31c1..91f900e208 100644
--- a/plugins/GSdx/GSdx.h
+++ b/plugins/GSdx/GSdx.h
@@ -35,7 +35,8 @@ class GSdxApp
 public:
 	GSdxApp();
 
-    void* GetModuleHandlePtr();
+	void Init();
+	void* GetModuleHandlePtr();
 
 #ifdef _WIN32
  	HMODULE GetModuleHandle() {return (HMODULE)GetModuleHandlePtr();}
diff --git a/plugins/GSdx/PSX/GPU.cpp b/plugins/GSdx/PSX/GPU.cpp
index 23375fd25b..5d1c7b2337 100644
--- a/plugins/GSdx/PSX/GPU.cpp
+++ b/plugins/GSdx/PSX/GPU.cpp
@@ -59,6 +59,8 @@ EXPORT_C_(uint32) PSEgetLibVersion()
 
 EXPORT_C_(int32) GPUinit()
 {
+	theApp.Init();
+
 	GSVector4i::InitVectors();
 	GSVector4::InitVectors();
 #if _M_SSE >= 0x500
@@ -153,6 +155,8 @@ EXPORT_C_(int32) GPUopen(void* hWnd)
 
 EXPORT_C_(int32) GPUconfigure()
 {
+	theApp.Init();
+
 #ifdef _WIN32
 
 	GPUSettingsDlg dlg;