Make sure the CPU fan is working. One time on my old rig, whilest cleaning the heatsinc, I accidently tore one of the fan wires. It shut off in a few seconds after boot up as a safety precation.
My friend's computer used to do this too. I forgot what I did to fix it though. I did a few things, like re-seat the CPU, change the MOBO battery, clear CMOS dozens of times, disconnect everything that isn't essential, and re-seat the videocard.
Maybe your PSU has burnt out too.
Intel Q9400 | Gigabyte EP45-UD3P | G.Skill 2x2GB DDR2 1000 | XFX HD5870
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