Msot likely the board has a CPU temperature sensor thing that shuts off the system if the CPU fan is failing (prevent you from melting your CPU)
so---
1) Make sure the CPU HSF (and other fans) are working
2) Make sure the fan's connector that tells the board "I'm working" is connected. (is there even such a connector? If so I've never connected it, hehe)
3) Sometimes the board is not 100% compatible with the fan and it can't always sense it "working". In that case disable the 'auto-poweroff on fan failure' in the BIOS (it should be off by default-- try resetting the CMOS by switching the CMOS reset jumper-- which you will need to look for)