Agreed - Windows XP, by default, will auto-restart the machine in the event of a general protection fault (rather than show the "Blue Screen of Death" - BSOD).
You can re-enable the BSOD by right-clicking on My Computer (its under one of the tabs - uncheck the box that says something to the effect of "restart in the event of crash").
Once you get the BSOD, you should be able to see what is causing the issue. Most likely culprit is the video drivers. If you have an Athlon proc with a VIA chiptset, be sure to install the latest VIA 4 in 1 drivers as well as the most recent drivers for your videocard (download them of the vendor site).
I had similar problems, and this fixed it.