I don't know about any supplements to help with that...but what I would say is make sure you are drinking pleanty of water, and make sure you properly warm up. If your class doesn't provide you with an adequate warm-up, try to find a half hour before class to stretch and warm up your muscles. Three weeks does seem like along time to still be sore. When I have this same experience (with dance

) it usually fades a week into it.
Are you taking a drastically different style of dance?
Also, is your diet adequate? Do you eat a balanced diet with protein, fruits and veggies and whole grains? If you are deficient in anything, it could contribute to muscle soreness.