This sounds like a hardware issue. Microsoft has had so many problems with shutdowns in ME and 98 that they have developed a special application to help resolve hardware issues at http://support.microsoft.com/support/kb/articles/Q239/8/87.ASP.
If this does not help, the best I can tell you is to search the TechNet site (www.microsoft.com/technet) for Windows ME Shutdown keywords. You will find quite a few Knowledge Base articles on the subject.
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