Windows ME: Pain!

I have an AMD Athlon 950Mhz system, 128 MD ram, 30 Ghz hd. Have Windows ME on it. Started getting the following error when I would shut it down:
“WINDOWS PROTECTION ERROR. YOU NEED TO
RESTART YOUR COMPUTER” When I
go to shut down the computer.
happens after no particular program has been run.
Thought it happened just
after playing a graphics intense game ie Quake 3
Now it seems to be happening more often.
I have reinstalled Windows ME, and even formatted the hard drive. I still get the message after a few months. Dont know if it is a particular program that I have loaded that causes it.