Window Shutting Down Problem??

Don't really know if this is the right forum, but here goes: When I'm playing a game or watching something on my computer, the computer makes a weird sound and then the screen goes black. I have to manually turn off the computer and then restart it again to get the screen back. Upon restart, I get messages saying that Windows did not properly shut down, then I have to do what the computer says in it's prompts. I've run several anti-software scans, but everything comes up clean. If someone knows what these symptoms are, could you please help me fixthe problem.

Thanks,

JS