There already is a question on this, but it was closed as "ambiguous" so I'm opening a new one - I've found the answer, maybe it will help others too.
The question is: how do you write a sequence of assembly code to initialize an XMM register with a 128-bit immediate (constant) value?
Just wanted to add that one can read about generating various constants using assembly in Agner Fog's manual Optimizing subroutines in assembly language, Generating constants, section 13.8, page 134.