I have a similar problem, my comp won't shut down from windows... It gets most of the way shutting down, then there is a flash of a BSOD on the screen, then it reboots... I noticed it after screwing with my FSB/mult.
I am gonna say it's a software problem, I think XP doesn't like overclockers. I may be wrong, we'll have to wait till the local hardware troll^H^H^H^H^H guru, Forge, gets home.