I dont know much about operating systems so i wonder if it would be some process that is running in the backround or what, but mostly when i am playing games the whole laptop will just turn off. No messages or anything, just close. And i have allready checked the battery and allways leave it plugged in just in case. The games i am running are not high end either. They are all ten plus years old. (But not dos old.) Please help!

If your lap top gets too hot it will shut down. Are you using a cooling stand under it, are all the air intakes and outlets clear of dust? Is the fan working? Has this just started or has it been happening for some time and getting worse? 7 or Vista? There are programs that can be set to shut down a machine at a given time but you would have to set it, it would not just set its self.

I would suggest, that you should after such shutdown touch the parts of the laptop how hot they are. Anyway after the shutdown start the computer and go to the bios and look for temperature.

Also I would in bios allow the beeps on error. Then check for erros/logs in game directory. If there are non, please look to the Windows event manager for any suspicious errors around the time of the error.
Just to confirm, you haven't disabled any error messages like BSOD.