Why does my damn computer keep crashing?

My computer is a Hewlett Packard Desktop with an Nvidia GeForce 8600, 2.4 GHz Dual Core Processor, and everything else is stock, every time I load up a video game, for example Battlefield 2: Project Reality after a short time of playing it crashes the entire computer and the computer just turns off, I have put a fan next to it to cool it down, I think its my Power Supply, but other input would be great.