My system goes off suddenly???

hi guys,me again with a new problem, ok I recently builted a system AMD Athlon 1600+ xp on Azus board, it runs good but when I’m playing games after a while it suddenly turns completly off???
it has 512Mb of DDR RAM,3D Nvidia 32bit-32Mb RAM video card.
I had a similar problem on a win98 system with the diffecence being that it wouldn’t turn completly off but it would just kick me out of the game back to windows???
Please can sombody give me a good detailed explanation???
Thanks again guys!