Right off the top, that is usually caused by one of two things:
> Your CPU's heasink fan is not plugged into the proper socket; it should be in FAN_1, or CPU FAN, or something like that. Any other power source will cause your CPU to shut down.
> This is the usual cause: problem with the thermal paste application to the CPU before installing the heatsink. Remove the heatsink, and use a little paint thinner on a paper towel (and I do mean a Little!) to gently remove the old thermal paste from both the bottom of the heatsink, and the CPU itself. Reapply fresh thermal paste and reset your heatsink. Be absolutely sure that the heatsink is sitting flat and level, and not reversed (it's easy to do on some models!). Here is an excellent link to applying thermal compound properly:
Thermal Paste.I like to apply it about the thickness of a sheet of typing paper.
Post back and let us know how it goes!