“That woman” was how the British establishment referred to Wallis Simpson, the American divorcee who swept King Edward VIII off his throne in 1936, and together, as the Duke and Duchess of Windsor, they led aimless, frivolous lives thereafter. A new biography called That Woman, by Anne Sebba (St. Martin’s, $27.99), will be published in March, and offers much juicy details, including speculation on Wallis’ sexual proclivities and talents that got the King so besotted he gave up the throne of thrones for her. Coincidentally—or so one would guess—in December comes the release of Madonna’s new movie, in which she doesn’t star but co-wrote and directed. It’s titled W.E. and juxtaposes two story lines, one of which is the adventure tale of Wallis Simpson’s snaring the King (and the other story line is set in the present, with connections to the past story). Critics at the Venice and Toronto film festivals were generally disapproving, but Wallis Simpson will not be denied—she will be, till the end of time, of perennial interest.