OK, I know what is PSU, but didn't know the word.
(I'm from Hungary)
So it might be a problem, it's a 300W Mercury ****, but no money for an Enermax PSU yet. But some lads here tried an old 250W Codegen PSU for fun (2 optical drives, 5900XT, P4 at stock speeds, 2 HDDs), and everything worked fine, until greater OCing. And it's only a 250W PSU from a not really better vendor. So the problem is possibly the cooling.
Or may the gpu be faulty? Is it possible to sell a bad chip? It must be tested for several hours before shipping, doesnt it?!
I promise no further questions!!!