Computer Shuting Down

I just put together a PC
With the following hardware and the computer shuts down randomly
I changed the CPU fan to a bigger one and still does it
Some people tell me is the power supply others tell me the CPU fan
Please help me troubleshot the problem

Has the following hardware
Motherboard Gigabyte K8M800-8237 AMD 754
2.40 gigahertz AMD Athlon 64
One GIG Ram
The case is a mini Cube Apivia with the Power 420Watts

are you sure the heatsinc is seated properly? try reseating it with some new thermal paste and see if that helps, because the fan they send with teh CPU has been tested to be able to dissipate enough heat to keep it within operating specs.

I put an copper heatsink on it. Its a thermaltake one.

It might be the power supply.
I've never had a Gigabyte board, but does the bios tell you somewhere what the voltages are?
Maybe there's a program that came with it on the CD that will do that for you. Speedfan does a good job too.

My A64 rig did the same thing randomly up until I replaced the power supply, after the Fortron I was using was a year old or so. The 12 volt reading kept dropping lower and lower to 11.64!!!
I changed the power failure state in bios to "on after power outtage" so at least the shut-downs became reboots.