I had the same problem with my build in the begining. I recently built a Celeron D 2.8 Ghz on an ASRock mobo. When installed the heatsink for the cpu i think i messed up because i would get the exact same problem as the other guy, my system would shut down after a couple of seconds so i presumed that it was caused by the temperature of the cpu, so i removed and reattached the cpu heatsink. Problem solved, however now my cpu runs at 54 degrees C idle. I probably damaged the thermal interface which is causing the high temp's when i reattached the heatsink. The case i used is also small (ATX) and the fans on the case, 3 altogether, SUCK. So i dont know what it could be, heatsink, thermal materical, sucky case fans, or small cluttered case? Anyone with any suggestions.
One more thing, mobo temp is 33 C and i am using a 500 W PSU, which is about 1 1/4 inches away from the cpu heatsink.