You might have power issues within your house/office. Try a different power outlet. Do you get the same problem on the different outlet?
If so, you may have issues with power going to your house in general. Call the power company and see if they are doing work in your area and call an electrician to check things out if they aren't.
If you don't continue to have the problem after switching outlets, you might just need to check the wiring to the original outlet or the original outlet itself. It may require a replacement of the wiring or the outlet. If you're comfortable with this you can DIY, if not, call an electrician.
Also, since the protection on the motherboard only goes so far as you've seen when the anti-surge doesn't kick in, but the PC still shuts down.
With PC equipemnt or even entertainment centers, I recommend everyone should invest in a UPS with battery backup to protect your equipment. I use this for my expensive gaming PC:
http://www.cyberpowersystems.com/products/ups-systems/pfc-sinewave-series/CP1500PFCLCD.html
And this for my entertainment center:
http://www.cyberpowersystems.com/products/ups-systems/pfc-sinewave-series/CP850PFCLCD.html
You can find the appropriate unit with wattage to meet your needs on the cyberpowersystems.com page, but both deliver a continuous supply of clean power to my equipment and have saved the equipment from taking damage quite a few times in this past year.
With all that being said, the power supply you're using might just not be all that great and no matter how many times you exchange it, it might still give you problems. What is the make/model? Is it enough for the components in your system?