Why is my computer shutting down randomly?

This happened twice yesterday and once today though today was the only time i was at the computer.

I was in a (single player) game of Starcraft II when all of a sudden the computer shutdown, as if it lost power. The fan thats connected to the same outlet continued working. The number lock light on the (USB) keyboard stayed lit. When windows (7, 64bit) returned, it acted as if i had shut the computer down incorrectly.

It’s a custom built desktop (i7 CPU, 2 monitors, ATI graphics card, 6GB ram) and its the first time i’ve had this sort of issue with it. It wasnt a blue screen of death either.