PC Shuts Down in Game Play

[DragonDen]

I just Built a new PC with the following:

MB- MSI K9VGM-V
Processor- AMD Athlon 64 3500+
Power Supply- Hercules ATX 500 watt
HDD- Maxtor 160GB (2 hdd's in system, both are the same)
DVD/CD Drives- LiteOn DVD/CDRW & WriteMaster DVD-RW/CDRW
Video- GeForce4 MX440 128MB PCI
Memory- Kingston 1024GB
Fans- 1 on power supply, 1 in the door, 1 at front of system,
and CPU fan
Problem: Computer shuts down after 5 - 10 minutes of game play. The power light blinks and I have to hold in the power button to finish shutting the system down and then turn the system back on.
This problem has been going on since I built the system.
The only games I can play are the ones that comes with Windows XP(FREE CELL, HEARTS, SOLITAIRE, SPIDER SOLITAIRE, ETC...) and internet games like on Yahoo.com or POGO Games.
I started playing games with the on board display adapter and it would shut down after 5 - 10 minutes of game play. So I installed a video card, same thing happens.
I checked for "Wake On LAN" in BIOS, it is disabled.
I have checked the system tempurature and it never gets over 103 degrees.
The computer is extremely clean, I just built it a month ago and I clean it twice a week.
Games that I play are Game Of Life, Treasure Seek Games, Roll Playing, Board & Card Games.
I hope someone has some idea of what is going on here and how to fix it.
It is not fun, not being able to play any of my games.

 

[Firedawg1971]

There are a few dif things that can cause this to happen.

since really the games you are talking about are just normal applications than I doubt the vid card. So lets move to the memory. Test the memory using memtest86 which can be found for free. run at least 4-5 cycles and look for errors. I would also have the power supply tested properly at a pc tech store.

 

[DragonDen]

I have already tested the memory, I just forgot to put that in my original post. No errors on the memory. As I mentioned before I just built this PC a month ago. Everything in it is brand new. However, I'm not ruling out the PSU as I know things can be bad from the start. But let hypothetically say the PSU is not the problem, what other solution could there be?
I will test the PSU, just to rule it out.