I just had the same problem!! Its those damn 775 intel sockets! I hate them. Make sure u install the cpu h/s and fan outside of the case, so u can see if it all the h/s prongs go in ok. Its probably not touching the cpu properly and making the system shut down. It should get 2 100deg then shut down. Can u see ure cpu temp quickly in BIOS?
Pentium Core 2 Quad Q6600 2.4Ghz
4Ghz 1066 RAM
2x 500G SATA II HDD
GeForce 8800GTS 320MG
Diploma in IT Computer Networking
Bachelor of Computer Science