Power supply is a possibility. Don't know anything about pentium system requirements but 250W sounds small. If you can sub in a bigger PSU that might solve your problem. However...
If your CPU fan would not start up then the motherboard would shut down to avaoid damaging your CPU. Is your Heatsink fan wired to the motherboard? If so, can you get an adapter and try to run it off a hard drive power line? If that can be done, see if you can get it to run.
You never indicated whether you have tried another stick of RAM. Is your 256 Megs all on one module? If not try each one individually. However with your latest symptoms I'm thinking it may not be your RAM or your power or your CPU cooling.
I hate to say it but sometimes mobos die this way. You might be having capacitor troubles -- your mobo is the right age for this. For an excellent writeup w/pictures go tohttp://www.badcaps.net