First, forgive me if I sound condescending. Generally people asking questions realize they are in over their head, and so I try to be very basic, because sometimes it's that darn little pesky basic concept you skipped. Isn't the question posted because you are thirsty for information?
It may sound like you need a new PSU reguardless of anything else that's wrong with your CPU. The only thing that really makes me think you have a PSU failure now is your LED light doesn't come on. On that note, I'd be willing to bet money your heatink isn't/wasn't installed properly. Although all your other new problems seem like 'OMG the computer is done for', it could be that your CPU is simply overheating faster now and the CPU is locking itself to prevent damage(or an error in the processing due to the temperature).
A friend's computer would work fine except when he tried to reencode DVDs. It would also randomly lock up at other times, but the only time he could reproduce it would be to reencode a DVD. He built the machine to copy DVDs and now he couldn't. He wasn't too happy about it. He put up with this for over 2 years. When I found out about his problem, I was ready to put $50 on it that he didn't install his heatsink properly. Well, he finallly listened to me. He pulled off his heatink, cleaned the CPU and heatsink, applied some Arctic Silver 5 and installed his heatsink CORRECTLY. Suddenly his CPU wasn't 170F in the BIOS, and... he could copy his DVDs. Of course, he had reinstalled windows many times because the constant hard resetting of his computer eventually corrupted the system, but after a new Windows install his computer has been great ever since. It's amazing what a little bit of experience and a tube of heatsink glue can do for CPU temps.
This tip just might ring a bell for you too. If you unclamp the heatsink from the MB, you should clean and reapply new heatsink glue. I can't tell you how many poor newbies make this mistake and they don't see what's so bad at checking out their awesome rig that they've built and are so proud of.
I recommend you do a few things:
1. Get a UPS. They seem to be a lifesaver at times. Especially those pesky power surges from the power company. All 5 of my computers have UPSes, and they'll all shutdown if they lose power for 5 minutes. I'd rather not have to reinstall windows yet again, and the $50 is worth the money for the hours and hours of pain of reinstalling everything.
2. Check to see if your CPU fan seems to spin at a speed you'd expect. It should appear to spin about as fast as the rest of your case fans. Bootup is the best time to check it because most computers that use fan throttling will initally run at full speed. Get yourself some Arctic Silver 5. If you got some of the cheap stuff you can use that, but if you are gonna go buy some, you might as well get some Arctic Silver 5. 1 tube is good for many applications. Then pull off your CPU and heatsink and clean them very well. I recommend rubbing alcohol, but you can buy the cleaner kits at newegg. I've used both, and I can't really say either is better. I use my cleaner kit and when it's gone i'll just use rubbing alcohol because it's cheaper and more convenient to buy. Then reassemble them using the convenient guide on arctic silver's homepage
http://www.arcticsilver.com/arctic_silver_instructions.htm.
3. Try to boot up your system. If it doesn't boot, i'd try getting your hands on a spare PSU just to see if it's the power supply. You might find you need a new PSU at this point.
4. If you get this far, flash your BIOS with whatever the newest version is, then do a reset to defaults. Then, go through and set the settings as you see necessary. As a general rule, if you don't know how a function works in the bios, leave it alone.
5. If you get to the point where the computer is POSTing and you still can't load windows, I won't be overly shocked. You'll probably have to reinstall Windows. Windows hates having corrupted system files. What a shocker huh? Even if you can boot into windows, I'd back up your data and do a clean install of windows just so you don't have all that past drama from possible corrupt files creeping up in the future. Who wants to fix a computers hardware, but leave the software broke? I'd rather fix it all in 1 swoop and be done with it. Then, just for my own sanity, I'd do a ramtest and a CPU test. I recommend memtest86+ and prime95 for both. Memtest86+ is a boot CD, so that will work reguardless of your OS status. If your computer can boot into XP, I'd do a prime95 on it before I reload it. If prime95 fails with a botched OS, chances are it's not the OS.If you wanna know how to use memtest86+ or prime95 send me a PM. At this point, i'd say your hardware is probably working okay, and you just need good software for your good hardware. Congrats on fixing your computer!
6. Reinstall Windows if desired. I'd recommend it reguardless just to make sure you have a good OS install.