Thank you very much for all of the suggestions. Here are my answers for some of the suggestions you had.
It sounds like a short circuit in your computer. I would suggest you to test the 40 GB hard drive on another machine.
My 80GB, 60GB hard disks work fine on other computer. I would assume my hard disks are good. I did not test 40GB HD since my 80GB HD had the same issue when I try to install it as single HD.
Other possibility might be the IDE controller on your mother board, broken IDE cable.
I have replaced IDE cable twice. No improvement.
High temperature can also cause computer to power off by itself.
I set CPU temperature to auto-off when it reached to 900C. I use Motherboard Monitor 5.3.7.0 (http://www.majorgeeks.com/download.php?det=311) and Fresh Diagnose 7.05 (http://www.download.com/3000-2086-10065841.html) to monitor the CPU temperature. It always shows H=430C, L=350C.
80% of computer prob are linked to over-heat
If it was over-heat, my PC should be able to start first, worked for a while (or at least 1minute), then shutdown automatically. My problem is if I install HD>60GB, it starts1 second, then stops.