You didn't smell anything, did you? If you just built it, you might not have installed your heatsink correctly.
I hope you don't mind me cutting and pasting my advice from another thread, but it applies here, too:
Strip the system down to motherboard and processor. Disconnect all external peripherals, and disconnect the power and IDE cables from the motherboard. Remove the PCI and AGP cards as well. This way, you can trace back step-by-step what part could be causing the failure.