you psu is probably fine...
don't install anything but the RAM, hdd, and video card...(for christ sakes)
boot windows...did it crash? - if no, you're fine
if yes...try upping the voltage to 1.85v (either by mainboard or closing L7 bridges)
did it crash? if no, for some odd reason your cpu is requiring more juice than it should...u may have a defective cpu in all likelihood
if yes...put voltage to default, test cpu in another mobo @ 133mhz fsb 1.4ghz if u can...if it works, your mainboard is trash.
also, make sure your bios is loaded to fail-safe...make sure all mem. timings are according to SPD Eeprom, and have the pci divisor set properly for 133mhz fsb (1/4)