Hi
Does the computer shut down immediately before windows starts up?
or when it has been on for a while?
The cpu cooling fan must be plugged into the socket for the CPU fan plug on the motherboard
(there are probably 2 or 3 fan sockets some for 3 pin others for 4 pin fan plugs)
If no CPU fan is detected or it is not spinning then the BIOS may shut the system down.
The BIOS will also shut the system down if the system gets too hot,
There is usually a bios setting for maximum CPU temperature before shutdown
the bios usually slows the cpu down first then shuts down
If you have just fitted a new heat sink make sure the heat sink is locked down correctly and any tape over the thermal material on the base of the heat sink was removed and the old thermal material on the CPU removed
regards
Mike Barnes