That'd be because it crashed. XP's default behaviour is to automatically
restart when it crashes. Unfortunately, this doesn't tell you much about
why it crashed, so it's harder to fix (and can be rather annoying).
Turn off the 'restart on crash' and you may be able to diagnose problems
from the error messages. Right click on My COmputer, go to properties,
advanced, startup and shutdown, and remove the checkmark for this feature.