You say you load the OS. Is this OS a transplant from another machine?
I need some ideas, I've built a new system with an MSI 945 neo5-f mobo, Pentium d 820 processor, 4G of Kingston pc5300 ram, 2 WD 160G sata hd, Nvidia 8600GT and a new 500wt power supply. When I try to boot up and load the operating system it shuts it down when I try to save the bios settings. All the components listed except the processor and video card are new. The only thing I did in the bios was to change the boot order. Is this mobo defective? Any ideas would be welcome.