Overheating

Ok i have an issue.... I just built me a computer... i have an intel p4 processor...
and i try to install windows xp and it will go until it says starting window and just shut off because it over heats... i have a cpu fan. i have the heating compound on it... i have case fans but when i connect them it overheats even faster... could i get some advice on what to do.. or something... if u need more details just ask and before it shuts off there is a sound that gradually gets louder...

askanarf