This question was first asked in 1984 by Martin LaBar and popularized in 1996 by Martin Gardner, who offered $100 to the first person to construct such a square. In 2005 Christian Boyer offered €1,000 and a bottle of champagne for a solution to a somewhat easier problem [Bc]. For a review of the history of research, see [Ba, Bb, Bc]. For basic facts about the anticipated magic square of squares, see [Br, Mo].
Bibliography
[Ba] Christian Boyer. Some notes on the magic squares of squares problem. The Mathematical Intelligencer 27 (2005), 2, 52-64.
[Bb] Christian Boyer. Magic squares of squares, "Multimagic Squares" website.
[Bc] Christian Boyer. Latest research on the "3x3 magic square of squares" problem, "Multimagic Squares" website.
[Br] Kevin Brown. Magic Square of Squares, "Math Pages" website.
[Mo] Lee Morgenstern. 3x3 Magic Square of Squares Formulations
* indicates original appearance(s) of problem.