If you never thoroughly cleaned both the heatsink and the procesor before applying new thermal paste/compound, I'd suggest you remove and and do the job over again thoroughly. If it's an Athlon XP in particular, the core die and the heatsink face need to be completely cleaned with acetone, methylated spirits or somesuch.
But that's simply a precautionary piece of advice. Your problem sounds to me to be software related, and I'd suggest a format and fresh install. Use the most up-to-date drivers, and do things in this order:
Windows
Windows updates
Motherboard drivers
Display drivers
All other drivers
In preparation for the fresh install, order a copy of the Windows Security Update CD from Microsoft as described in this topic:
http://www.daniweb.com/techtalkforums/thread4998.html
It contains all updates up to October 2003, Internet Explorer, Media Player, DirectX and so on, and will save a lot of later downloading of Windows Updates.
Use up to date drivers from manufacturer websites for your motherboard and all your internal components, except this:
If you have a Creative Soundblaster soundcard of any description in there, install from the CD, then install the updates from Creative's website.