computer shutdown and wont bootup again!

Ok,This is what happend

I was playing left 4 dead on my new computer when out of nowhere it shutdown. When i went to check the back of my computer i smelt something strange.
i unplugged it and put it back in after 30sec and it turned on. I went to play left 4 dead once again half way through it shut down. I went through and did the same thing but this time it did not come back on.

Can someone tell me what is rong or what i need to replace? Thank You!

Specs:

AMD Phenom 9850 Quad core-Processor

ASUS m3a78-T-Mother Board

EVGA Geforce 9800 GTX 512MB DDR3-Graphics Card

2x 1GB of DDR2 Dual Channel- RAM

500gb Western Digital-Hard drive

My motherboard LED light still comes on. would that mater?

WOW! Thanks guys, i bought a new power supply today and it works better than ever!