You might also have a problem with the thermal paste that is between your CPU and your fan's heatsink. The thermal paste conducts heat from your CPU to the heatsink and then the fan dissipates it from the heatsink.
I had the problem before. The fan worked nicely but I had some overheating just because the thermal paste was so old it didn't work well anymore.
So basically you have to buy some thermal paste, remove the fan and heatsink, put a little bit of thermal paste and spread it as you would spread butter on a toast (if you were overweight

- ie thinly). Then you put back your fan/heatsink and play again for a while and see if it still overheats...
Edit: the heatsink is the metallic thing that is between your CPU/GPU and its fan. It usually has some very thin sheets of metal either parallel to each other or sometimes like an accordion.
If it doesn't help you, just post your CPU/GPU details and we'll find some pictures of it.