Thanks for the reply.
Actually I was not able to get into the BIOS at the time when this happened. The siren would sound off as soon as you press the button the PC to power up the computer. However I did find out that most CPU's made by Intel have a shutdown or halt feature when it is discovered that the CPU itself is overheating. But in my case the CPU and motherboard continued to run and stay powered on. In other words it did not shutdown because I believe it was not overheating. I believe in my case that it was a false alarm that was being given at the time of this happening.
Right now it's not happening so I cannot test out some other things that I would like to check like your suggestion.