That does sound like an overheating issue. I suggest three things to try.
1. If you're not doing this already, find the utility on the CD that came with your mobo to show you the temperatures of mobo components while running. This is an app that runs under Windows and can stay open on your screen while you are running other things, so you can see several temperatures all the time. Keep this running while you run your stress test so you can watch important temps for ones that rise fast before shut-down. OR, if there are no really high temps that should trigger the shut-down, proceed to my third idea.
2. See if there is a similar tool to monitor the temperature of the GPU chip on your video card. Check that also.
3. Many mobos have an option, for each fan header, to set the temperature limit used to trigger an alarm for overheating of that specific device (like, e.g., the CPU). They also have a setting for what is the lowest speed that the fan they control is allowed to run before they consider it failed. Check both of those. It is possible your mobo is running the CPU fan so slow (because the CPU chip is NOT getting hot) that the mobo thinks the fan has "failed" and triggers the shut-down.
For further info, tell us what fans (exact model numbers if possible) and CPU cooler system you have, and exactly where each of them is plugged in.