If your computer has been running fine but suddenly shuts down in an instant, as if somebody turned off the power switch, there’s a good chance that happened. The CPU may have overheated and an automatic thermal switch turned it off.
When a CPU runs at full throttle for a long period… maybe just a few minutes… heat builds up. Rendering a video file is one of the tasks that uses as much CPU power as it can get, so it can finish making the new movie file as quickly as possible. That’s fine if the cooling system for the computer is also able to run at maximum efficiency and is capable of sucking away the heat generated. Luckily, if the heat build-up gets too high, there’s a circuit breaker that instantly shuts down the computer to protect it from damage.
If this happened to you, it's time to learn about the "Affinity" setting
It happens to me often. I first learned about such heat buildup and the CPU affinity setting at Barnes & Noble. Sitting in a big cushy chair, starting a video saving or rendering with Movie Maker, and putting the laptop on the seat so it was nestled as I stand on the mocha line… to return to find the rendering didn’t finish, system shut down, and the seat cushion feeling hot. After a few times I realized the cushy chair reduced whatever air flow the laptop needed to keep it from overheating. 
Open your Task Manager [Figure 1] by right clicking anyplace on the task bar, the long bar with the start button and icons on it, usually at the bottom of your screen. It’s the same on XP and Vista.
The Affinity setting works on one process at a time. Find the process that is using most of the CPU energy. It could be Movie Maker, the Expression Encoder 2, or another video editing or conversion app that needs lots of CPU cycles to create a new video file [Figure 2]. Right mouse click on the line item and select ‘Set Affinity’.
If your system has 2 or more CPU’s, they’ll be listed individually. 
Simply uncheck one and press the OK button to stop the process from using it. You can do it while the rendering is happening. It’ll result in the computer using only half the computer power and generate half the heat. Don’t worry about making a mistake and unchecking them both, as the system won’t let you.
As dust builds up around the cooling fan, and a computer gets older and tired, the heat generation stays up there but the cooling efficiency goes down. As you become busier with video work and do more renderings, you might find yourself turning off one of the CPU’s on a regular basis. At system startup, the CPU will return to the fully on setting.
If your system is overheating and has only one CPU, it could be time to clean the dust from the fans or aid them by having an external fan blowing on it as it renders a movie.
On a positive note, I find my renderings don’t need much more time to finish when using only one of the CPU’s. A side benefit of using just one of the CPU’s is that the other is available to let me easily do other things as the rendering goes… internet surfing, email, IM, writing articles for Bright Hub, etc.