What Operating System are you running? It can be quite a few things - temperature, power management, etc. Are you playing this on a laptop by any chance? Do you have a UPS?
Look in control panel-> Power to see if you have anything that might look odd - hibernation settings, etc.
If you run the Windows 2000/XP platform, you can right-click on my computer, click on Manage and then select the event viewer option from the "Computer Management" tree. Look in the Application and System logs to see if you see anything out of the ordinary for the times your system shuts down.