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Built my first PC - it turns off after less than a minute

Last night I built a PC for the first time. I think I was pretty methodical and made all the right connections. When I turn on the computer, it seems like everything is fine. It sees the graphics card, the CPU, the RAM, and both hard drives. The dvd drive and the keyboard both work. The 4 case fans all come on. The CPU fan and the power supply fan both come on. The interior blue lights come on.

Then, after about 40 seconds, it just shuts off. No beeping, no error message... it just turns off. It doesn't matter what it's doing at the time. If I hit delete to go into the bios, while I'm in there it will just turn off. Or if I let it boot from the Vista CD, it'll be on a screen with a progress bar saying "Windows is loading files", it will get about a third of the way through the progress bar, and then shut off.

My biggest concern is that everything seems to be working perfectly and then it shuts down, and I don't know how I will find the problem. Any help you can offer would be greatly appreciated. My specs are as follows:

Case: Antec Nine Hundred
Motherboard: XFX nForce 780i SLI
CPU: Core 2 Extreme Quad-Core QX9650
RAM: Patriot Extreme Performance 1066mhz PC2-8500 (4 x 1gb)
Power Supply: Antec TruePower Quattro TPQ-1000
Graphics Card: XFX GeForce 8800 GTX
Hard Drive: WD Raptor X 150gb
Hard Drive: WD Velociraptor 300gb
DVD Drive: LG SATA Super Multi DVD Rewriter 20x
Sound Card: Sound Blaster X-Fi Xtreme Gamer
Monitor: LG L227WTG-PF 22" LCD
Keyboard: Logitech G11
Mouse: Logitech MX 518

Thanks in advance to anyone who can help me solve this problem.

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Just fixed one like that.

In reply to: Built my first PC - it turns off after less than a minute

The owner didn't put on the heatsink compound. They thought it was optional.

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In reply to: Just fixed one like that.

The instruction portion of the manual is just a series of pictures, and it didn't say anything about using a heatsink compound - there's no text to that effect, it's not represented in the pictures and no compound was provided in the packaging.

1) Are you certain this is the problem?
2) Have I done damage to the CPU, permanent or temporary?
3) Once I put the compound on, will I be able to take the heatsink off again... is it like glue? I ask this because I've taken the heatsink off about three times to make various connections in areas that I couldn't access when the heatsink was in place.

I apologize about my ignorance. Thank you very much for the help. I'm off to buy a heatsink compound. I'll look for your response when I return.

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It shuts down to prevent the issue.

In reply to: Seriously?

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