System extremely unstable and random shutdown

Hi everyone,
First of all, here's my system spec:
AMD 4000+ w/Zalman CNPS7700CU, Asus A8N32-SLI, 1GB Kingston Hyperx PC3200, Two EVGA 7800GT in SLi mode, 250GB Maxtor DiamondMax10, Sony DVD-ROM, NEC DVD Burner, Antec NeoHE 550W.

Just finished building this gaming beast, but it has been acting extremely weird lately. First of all, sometimes after I exit the game to return to the desktop, the screen just locks up and I will be forced to restart the system by pressing the restart button. After a while, the system starts to shut itself down or at times it take a long long time to boot into windows( 15 ~ 20 mins). I'm not sure now if it's problems with the RAM, CPU, HDD or MB, because I tried a few DOS diagnostic programs, and it will just shutdown after 5~10min of diagnostic.
So I'm wondering if anyone has ever experience or heard about the same problem as I'm having here... and hopefully give me some tip!

Thanks

Well, thanks for the tips. But I have ran two different ram diagnostic tools (Mem86, and Microsoft's ram diagnostic) and the ram seems to be in working condition; also I'm sure that my CPU heatsink was installed correctly because i have both hardware and software monitors that shows the cpu temp is around 30~40somthing depending on the load. The utilities that I have used are both in DOS, first one is the Eurosoft PC-Check and the other is the "PC Certify" diagnostic tool; for both they didn't come up with any error message about any hardware.
I have actually narrow it down to the PSU. I have contacted Antec about the NeoHE 550W that I have purchased, and they told me that there are some rare cases of incompatibility between the PSU and the MB that I have (A8N32-SLI Deluxe). I'm just wondering if anyone has ever heard about that or even experience it??