computers shuts off

Help!!!! This has been going on for months now and nobody I know seems to be able to help me. When I play downloaded games, after about 5 - 10 minutes, my computer just shuts completely off. No trouble starting it back up. I just recently discovered it does this when playing any online games using active x or shockwave. Also did this while watching a tv show on an episode player you have to download. I can play any other online games with java. Any suggestions or help would be greatly appreciated. I really miss playing my downloaded games. A lot of them have been paid for and it really ticks me off I can't play them. Thanks