"Sometimes" there could be a problem with Windows XP and it dies (BSOD or Blue Screens) on you, but the system is set, by default, to auto reboot.
Making this change will stop the auto reboot and also allow you to see what the problem is.
The Steps
If you have the 'My Computer' Icon on the desktop right click it and select 'Properties' then skip to step 2.
If not then do this:
- Click Start -> Control Panel
- If in 'Category View' (will say pick a category at top of window) then click 'Performance and Maintainance' then the system icon
- If in 'Classic View' locate the System Icon and double click it
- When the System Properties dialogue is shown click the 'Advanced' Tab
- In the 'Startup and Recovery' Section (near the bottom) click the 'Settings' button
- In the 'System Failure' section untick the 'Automatically Restart' option
- Click OK
- Click Apply
- Click OK to close the dialogue