They sure do, but I'm not using my 2500k with my old P5B-E MB, read my first post again..
^ i would have to concur with the PSU being faulty. If the computer is literally turning off, it is most likely a power issue. Although you can get hard shutdowns if something is overheating and reaches shutdown temperature. Check your temps.
The CPU remains under 70C during 100% load. Regarding the GPU, the computer shuts down before it has a chance to reach load, but idle is 30C.