My first guess would be that your power supply is inadequate. I'd say you're wanting at least 350W for a setup like you have (400W would give you some room to grow), and not just any 350W power supply either. A quality one that can actually deliver 350W of power, which most el cheapo power supplies can't.
I've just built this computer 2 weeks ago and i'm about to toss it I can't figure out what is wrong with it. It reboots itself all the time, an average of 5-6 times in an hour and ussualy instantly when I'm in a game. I know it can't be the video card becuase it still does it even when I run the games in software mode to see if it the video cards fault. I'm getting really stumped here and am lossing my patience. Nothing is overclocked and it's all on standard setup, everything is updated with the newest drivers and windows updates but this has always been a problem with it.
Pentium 4 2.4GHz
Ati Radeon 9600 256MB VideoCard
Creative Sound Blaster Audigy 5.1ch SoundCard
80mm Fans x6