Computer Random Shut Down

Hey guys,

Just bought a brand new rig specs:
Intel Q6600 2.4ghz quad core
2 x 8800 Ultra (EVGA)
2 x Corsair PC2-1066 Dominator
ASUS P5N-E SLI Motherboard
Creative Audigy SE
850 Watt NZXT Powersupply. 4 x 12v rail, each at 20A

So heres the problem:
I can boot into vista just fine, but when I try to run a big 3d application the computer will randomly shut down. I have all vista drivers, have tried reseeding all of the components. I am kind of out of options here. We are trying to update the bios now, was just wondering if anyone has heard anything or has any suggestions

Thanks