KT3 Ultra2 R and VGA problem

I wonder if I could please get some ideas as regard this rather odd problem which I am encountering. This problem occurs when while the pc is 'shut down' if I disconnect the power supply ie switch off power by way of the switch on the psu. When I switch power back on again and boot, the pc begins its booting sequence it begins to launch windows and then it stops and a little red square (with a bit of green) appears in the top left hand corner of the screen. Now this problem does not occur if I shut down the pc normally (but don't cut off power supply). I have several partitions on my HDD and they are all affect at the same time. The end result is that I boot into safe mode I look at the refresh rate which is set to 'unknown' change it to 'adapter default' then reboot but upon reboot I get windows displaying screen at 640x480 with standard vga colours. I check in device manager under 'display adapters' what driver it's showing and it's the driver which I last loaded ie the correct one. I cannot change screen resolution , bit colour and the refresh rate only allows for 2 options, either 'optimal' or 'adapter default'. In order to get back to where I was, I have to remove and re-install my VGA driver and then everyting is back to normal (until I switch off power again at psu then back to square one). I have spoken to the manufacturers of the graphics card and they say that if the card works ok when I shut down pc normally and restart then cannot be the card. I described my problem in greater detail to MSI support and they said either VGA or O/S.
In essence I wanted to isolate the problem to, is it 'hardware or 'software'.
I would be grateful if anyone can shed some light.
KT3 Ultra2 R   (5.5   not the right one but the cpu clock speed is correct at post)
XP 2600+ 333 T'Bred
Crucial 512 Mb PC 2700
Leadted Ti 4400 128 MB Vivo (det 44.03)
Creative Audigy
Enermax 432W
Windows 98SE (via 4-1 v 4.34)
Seagate 60Gb 7200rpm   I am running the HDDs as independant drives on the
Seagate 40Gb 7200rpm   Raid controller ie one on IDE3 & one on IDE4

Odd as it might seem I have to follow the proceedure listed below if I want to switch off power altogether to work on my pc.
1. Cold boot system with 166FSB and let O/S install
2. Reboot enter Bios and reduce FSB to 133 make sure to set memory speed as HCLK and let O/S load
3. Shut down and switch off power supply
4. Reconnect power and boot system. Enter bios set FSB to 166 (the mem speed will be HCLK)
5. System continues to boot and loads O/S
From that point on, cold boots (without cutting power supply) are not problematic as once the 166FSB is 'registered' everything works ok (at every cold boot). So anytime I wanna work on my pc I guess I have to do the above 5 steps. They seem to work but need to try it out a few more times before I am confident that this process will always work.
I am sure you agree that this is one strange mother of a problem.
I suppose the only 2 things left are a total O/S reload or trying another 333 cpu because I have tried everything else.  I guess I will have to live with it.
I have also cut some additional front vents so that front fan draws more air in and it appears to have dropped my idle Temp to 40.5C on CPU (running at clock 2083Mhz).
As as said earlier in my post my system ran perfectly with XP2000+ and 512Mb PC2100. I merely upgraded the CPU to XP2600 and mem to PC2700 and it has thrown up this very odd problem. And to boot (if you will pardon the expression) when I first installed new CPU and memory it booted first time at 166FSB. osnavi, in case you upgrade your CPU to a XP2600 and you get this weird problem at least you can come back to to this thread and find this workaround.
I wonder if anyone can fathom out why this is happening.......If not as I said I can live with it.
wonkanoby, I will try the link to the memtest. That is the only thing I have not tested so will give that a try.
-MSI KT3 Ultra2 Raid
-AMD XP2600+ 333 T'Bred
-Evercool CUD 725 Cooler
-2x256 Mb PC 2700 Crucial
-Leadtek Ti4400 128Mb Vivo
-Creative Audigy
-LiteOn DVD 16x
-Liteon CDR48125w
-HP CDR 9710i
-Seagate Barracuda IV 60Gb (I am running the HDDs on the raid
-Seagate Barracuda IV 40GB controller as 2 independant drives)
-2 Case fan
-Enermax 431W

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