PC Shuts down when started up…

I have a Compaq running Windows ME. I hit the power button, the computer starts and goes through the P.O.S.T. but when the Windows start screen comes on it shuts down (loses all power) I have let it sit a while, thinking it was overheated or something, but it keeps happening. Can some one help me out with this? Sorry for the low point value it all I have left. Thanks to all.
Michael