PSU Malfunction

Hello all,

Well, to get right into it, my PSU conked out. I shut down my computer (Start > Turn Off Computer . . .), it didn't automatically turn off like it normally does. So, I tried the power switch, nothing happened. Finally, I flipped the switch on the PSU. Obviously, it was off now.
The next day, I went to turn it on, and it didn't. I tested the power switch, it was fine, so the next thing to check was the PSU. Took it to a computer service store, they tested it, it was dead. I sent it back to the company, they sent me a brand new one. And that brings us to today.

I installed the PSU in my computer, hooked it up to everything (mb, harddrive, video card, CD-Rom, fans). I pushed the power button, the PSU lit up (it has a lighted fan on it) and the fan went on, this lasted about a second, then it shut off. Well, then I went through step-by-step:
- Connected only the motherboard to the PSU - turned on, stayed on, beeped.
- Connected the motherboard and the larger fan - turned on, stayed on, beeped.
- Connected the motherboard, larger fan, and the harddrive - turned on, stayed on, beeped.
- Connected the motherboard, larger fan, hard drive, and video card - turned on, stayed on, did not beep. (apparently it was beeping because there was no video output.
- Connected the motherboard, larger fan, hard drive, video card, and plugged everything into the back of the computer - turned on, stayed on.
- Connected everything listed above, plus the smaller fan, turned and stayed on
- Connected the front USB and Audio connectors to the motherboard - turned on, stayed on.

There was nothing to account for the initial result of the PSU starting for about a second, than powering off. Nor was there anything to account for the PSU dying in the first place. It's a great PSU, high quality, it shouldn't have died. So, I'm wondering, in order to prevent having to replace the PSU again, what it was that killed it.

I noticed when I was attaching the front USB and Audio wires, that the larger fan (120 mm) was facing in such a way that the airflow was directed to the inside of the computer, leaving only the smaller fan (88 mm) to push out all the heat. Could the PSU have over-heated? Why wouldn't it have died right away, instead of just not shutting down right, and then not turning on the next time?

Could it have been because the computer was not shut down correctly?
Any other ideas?

Computer specs are in the signiture, thanks in advance for any input you can give!