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This is a fairly common complaint. I currently have one that I can't pin down why it stops, but I'll discuss some of the most common causes. What I mean but shutting down is a computer that shuts itself down completely. A computer that restarts itself is usually blues creening but is set to restart on a bluescreen. The problem is that this happens too quickly to see. If this is your problem then right click on "My Computer" and select properties. Then go to the advanced tab. Select "Startup and Recovery" and ensure that the Automatically restart checkbox is cleared. Now when the computer fails you should see the error number it fails on. This is another story.

Another false shutdown is where the screen goes blank but the lights and the fans are still running. This is usually a failure of the graphics system. I find that turning the computer off and reseating the graphics card can fix this most of the time. Otherwise try a new card.

A total shutdown is where the lights and fans go off. As usual there are a number of things that can cause this. The most likely cause is an overheating CPU. CPUs have an inbuilt protection that will shutdown the computer when the temperature reaches a certain level. Most BIOS will show the temperature of the CPU. If the computer will restart you can see the temperature of the CPU. If the CPU is hot then Take off the cover of the computer cover and clean all of the dust out of the fins in the CPU heatsink. Check that the CPU heatsink is firmly and all of the clips are seated properly.

More rare is bad memory which tends more to freeze the computer. If there are two memory sticks in the computer remove one and swap them between memory slots. If the computer is still stopping keep removing peripherals until the computer stops failing. If the computer still fails then you need to replace the only piece left which is the motherboard.