Furmark is *VERY* demanding for graphic cards. To be honest, it will stress out your cards further than any realistic program. As such, some components cannot sustain the stress and fail. Video cards could fail (temperature or power draw), PSU could fail...
So, what are the ratings for the power rails of your DELL PSU? (how many Amps are stated for each voltage on the sticker) What is connected to each rail (particularly if you have multiple 12V)?
A full system shut down points towards the PSU, but I've seen video cards do that too.
Conclusion is that if your system works correctly normally, do not run Furmark anymore