Sounds like it shut down from overheating. You did put thermal paste on the CPU before mounting the CoolMaster right ?
Might want to just reseat everything and check. Can be any number of things.
Lesson 1 when building PCs, you just don't plug everything in and then start loading Windows. You 'piecemeal' one PART at a time, power on, check it comes up to BIOS, shut down, plug in next part, repeat repeat repeat. When all parts installed boot to BIOS without any issues and shows those parts AS you expect them to show (i.e. a 1TB Drives doesn't show 200GB available) THEN you go ahead with Windows Install.
Remember building a PC is NOT about getting Windows to work, it is about the hardware.