I am sorry to reply so late, and English, but I have exactly the same problem with my computer as mikest reported. This is the only discussion on the web that I found about this problem.
I have P4-2.8, MSI PLS motherboard, Transcend DDR400 1 GB memory (dual channel, i.e., 2 modules, each 512 MB: TS64MLD64V4F3), Radeon 9800 Pro, and Windows XP SP1, in the Raidmax 668 case with Raidmax 420W power supply.
My computer reboots when I play games, UNLESS I run MSI CoreCenter. Unfortunately, MSI CoreCenter often doesn't start with the message "Failed to load hardware monitor".
If anyone has any update about this, please tell me! Maybe we could compare our hardware and identify the component that causes this problem...
Thanks!
Max