The result is that a compact, connected simple Lie group $G$ has $\pi_3(G) = \mathbb{Z}$. Simple covering space or subgroups arguments should get you to $\mathrm{SO}(n)$ which is all that matters. For that matter start with the 1-connected $\mathrm{Spin}(n)$.
[OK, a short train ride later, now I'm home from work. To continue...]
The fibre of the 3-connected cover is a 2-type, and in the case of $\mathrm{Spin}(n)$ this is a $K(\mathbb{Z},2)$, so at the very least, $\mathrm{String}(n)$ can't be finite-dimensional. If one could construct a primitive[1] $PU(\mathcal{H})$-bundle on $\mathrm{Spin}(n)$ whose Dixmier-Douady classs was the generator $\langle -,[-,]\rangle \in H^3(\mathrm{Spin}(n),\mathbb{Z})$, then you would have an infinite-dimensional Lie group model for $\mathrm{String}(G)$ (here $\mathcal{H}$ is a infinite-dimensional separable Hilbert space, $PU(\mathcal{H})$ is then a smooth model for $K(\mathbb{Z},2)$, if we take the norm topology, making it a Banach Lie group).
([1] Primitive in the sense that for the group operations $G\times G\to G$ and $(-)^{-1}:G\to G$ there are bundle maps covering them.)
I don't know if this is possible or not, but I'm sure this idea has occurred to someone before, and since we haven't seen it, there might be a reason (well, I haven't seen it and everyone goes on about $\mathrm{String}_G$ only being a topological group).