Computer shuts down during gameplay

[jollyrogers100]

During gameplay, such as BF1942, Halo, or C&C RedAlert, my computer shuts down. I can play these games for a while and then my computer shuts down.
I just recently built this computer that I am using, and I was wondering if I may have recieved a bad motherboard or if there are some software issues, or problems with any of my other hardware.

My computer had a 2.8 Intel Celeron Processor, 1 Gig or RAM, 120 Gig HD, 128 MB ATI Raedon 9200 SE, a DVD+-RW, CD-RW drive, Floppy drive, TV-FM tuner, the motherboard had integrated sound.

Any tips, ideas or suggestions would be very helpful.

[jollyrogers100]

Additional Info:
Processor temp: 140F-using heatsync that comes with processor, has fan attached, also using conductive goop between processor and heatsync
Multiple fans, one on the side blowing air in directly on motherboard, one in the back sucking it out along with two on the 550 watt power supply
two 512 mb sticks of PC 2700 DDR RAM
two blue cathode lights
all settings in BIOS set to the normal settings(none have been changed)

[curtybob]

I don't usually use celerons, but I think 140 is a little steep for idling. Did you remove the black patch from the bottom of the heatsink before you applied thermal compound? I always take the black patch off, including the foil backing and replace it with Arctic Silver thermal goop.