Direct Vent natural gas fireplace has shut off 3 times by itself
1)your system is not bringing in fresh air for combustion

2) your system is not getting rid of exhaust gasses 

3) you have a faulty oxygen depletion sensor that is lying to your system and causing shut down 

If you leave the box open does it operate properly? If yes rule out number 3 

DO NOT OPERATE THIS WITH THE GLASS OPEN !!!! You and your family could lose your life.

After reading your comments I have a couple more suggestions

The vent pipe must be designed specifically for use in your model fireplace. These are two pipes in one. The inner pipe carries the hot exhaust air out of the fire box while the outer pipe brings in fresh out side air. If you have simply attached a single wall flue to the box your fresh and exhaust air are mixing. That is not good. It would lead to combustion issues. If you have  have a two chambered flue that that is designed for use on direct vent fireplaces installed you should be sure that a proper termination cap is installed outside the house where it exits. These have baffles that can minimize effects of wind on the operation of the air exchange.  A high wind cap for these systems is available. Example