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I just bought myself a pc or rather pc bits and built a computer with the specs below:
gigabyte motherboard k8n pro SLi nForce4;
and athlon 64 dual core 4200
corsair 1gb ram
XFX Geforce pcx6600 graohics card
WD Caviar 20GB SATA II HDD

Now I'm trying to install Windows XP. Setup starts and I chose Quick format, once format is complete, the pc restarts to continue installation however after the windows xp logo comes on the pc switches itself off. If i restart it tries to continue setup however after about 10seconds it once again switches off automatically.

i tried replacing my HDD with a standard ide HDD and the same happenned!

i'm using a case with cooling capability (arctic cooling T2) so i dont think its a cooling problem...however i'm running out of ideas!

please help!!!!

Did you use thermal paste between the proccessor and the heatsink?

if u have a new chip your heatsink/fan should already have compound on it, dont add more, or you may have the opposite effect desired, too much is bad. change your ram, it sounds memory related. you can check it also here
test ram http://www.memtest86.com/

check memory compatibility list in your motherboard manual.

let us know if u need any more ideas
btw, nice chip, i hope to have the same one soon!!

It does sound very much like a memory issue.
But just for the heck of it, have you been in cmos setup yet or can you get there?
Might want to check to make sure all the correct settings are made for the cpu, fsb, memory, etc.
If there is a temp threshold setting in there, it may be set very low shutting down the system as well.
Of course, you don't want to cook it either.
What kind of PS you got in there while we're at it?