Well i was doing some more thinking and i remember reading some were on toms hard ware that your system will shut off if one of pieces of hard ware are over heating to protect it. On the stock fan of the cpu ( E8400 ) there was a little amount of thermal paste. Could that have done it?
Are you trying to tell us that you put on the new heatsink without applying any thermal compound? Even so, it shouldn't shut down so quickly, if at all.