Unexpected shutdown due to overheating?

I had a computer case without fans once, and my Pentium III processor would overheat easily (it's not that hard in the Israeli summer...). Eventually I opened the side panel of the case and left it open, aiming a 16" fan directly at the motherboard. This was the only thing that cooled down the computer enough to keep running.

I've found that when you're really overheating your computer won't start up immediately after shutting off, or if you do, will shut off again before making it to the desktop. OTOH when I found that my MSI AtiXpress200 motherboard's bios wouldn't support the GeForce card I had, during a game it would shut off at a random point. When I had bad ram, windows itself was pretty good about mentioning that it thought I must have bad ram after it was started from a crash, and that I should scan for ram problems. Personally I suspect you have an issue where you PCIe BIOS isn't quite up to date with the geforce's use pattern.

Software based CPU temperature sensors rely on the BIOS settings. Check your BIOS for power management settings to see if the settings have been changed from the default. Otherwise, I suspect a bad or under-powered PSU.