All of Spear’s advice is good, and I’ll add one more. The most common component to fail on a power supply in my experience is the fan itself. If you look at the back of your computer, you should see the fan turning, and feel air coming from it. If not, that would explain why you can run for a while and then the system shuts down due to overheating.
I think a physical explanation like that or one of Spear’s suggestions is a more likely cause than XP SP2. But, with Microsoft, you never know!