Could be lots of things, heat, power supply, bad ram/cpu/gfx card yada yada yada... Like Proximon said, how about some more info:
What mobo, cpu, ram, gfx card, psu etc
What software, game, os etc
Does it reset doing anything else
Also try prime95 stress test, find out your temps for gfx and cpu
Try mem test to check your ram
Run Dxdiag (on xp - start menu > run and type "dxdiag", I'm not sure about earlier versions) and try all the tests.