Some of the initial things I would check are:
1) Is the power supply powerful enough? If so, it may be faulty.
2) Check your processor - is it fitted correctly? It could be overheating.
3) Have you got enough ventilation in your case? The cooler the better.
4) Have you got any older hardware fitted, such as sound card, graphics card, TV card? They could cause some problems. Try removing any you can.
It might not be any of these, but it should give you something to look at.