Not really sure what issue you are having with it only being three parts(body, collet, and decapping pin), but I'll do my best to offer some guidance. Completely remove the collet from the body of the die, and remove the decapping pin. Thread the die into your press just like if you were setting it up normally. Take a piece of 9mm brass that has already been decapped, put it in your shell holder, and run it all the way up into the die, just like normal. Now, drop the decapping pin down the hole in the top of the die, and make sure it drops into the flash hole. Slide the collet over the pin, and steer screwing it tight until it just starts to clamp on the pin. Once it is able to hold the pin in place, remove your brass and place a quarter on the shell holder. GENTLY raise the ram until the quarter bumps the pin, and then raise the ram just enough to slide the pin upwards a couple mm. At this point, tighten that collet like an angry gorilla. When you think it is tight enough, give it a tiny bit more or the pin will slide. Take a piece of brass that still has a spent primer in it, and try resizing. Should work just fine.
