When you've had it on for a little while, go into the BIOS and see what the CPU & motherboard temperatures are - I guess it <i>could</i> be heat related, but to never even get into windows suggests something else...
Bad memory maybe? You'd have to be pretty unlucky to get bad RAM out-of-the-box, but you could try running Memtest86 anyway (<A HREF="http://www.memtest86.com/memt31a.zip" target="_new">here</A>). Run the installer on another PC (The one you're posting from?). It'll want a formatted floppy disk, so have one spare. It'll give a boot disk that will test your memory for errors, so you won't need to get as far as windows, just make sure the BIOS is set to boot from floppy before the HDD. Leave it running for a few hours, and see if it gets any errors.
You could also try unplugging everything apart from CPU, GFX, 1 stick of memory and the hard disk, just to see if it gets anywhere..
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"Sex without love is an empty experience...
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