"But the expander die is a powder and expander die. So in order to use it you have to have the Lee powder hopper on it to use it."
And you still can, but you have use the Lee Pro Auto Disk to use it. You didn't mention you had this before, but using the Lee powder hopper would be a good choice, as it will give you powder through expansion on that press.
"But I want to try the Projectors powder setup instead."
Then you'll have to use your power through/expander die in the station before the powder measure in order to get case expansion.
"Do I have to go out and buy a expander die only?"
Remember when I posted to you and said if you bought the Projector, if you wanted powder through expansion you'd have to buy the Hornady Case activated powder drop? To get powder through expansion with that press and that powder measure, you'll have to buy the case activated powder drop, an expander insert and then I'm not sure if that powder measure will work with them. You may also have to buy the newer LnL powder measure as well. Hornady doesn't offer a powder through expanding die.
"Also in the box came some brass sleeves. I think they go in the powder drop somewhere, but I can't figure out how they go. It's basically the same thing that is in my Lee die powder expander die but has a flare on the top."
Sounds like case activation parts for the powder measure, but you can give Doug at Hornady Tech Support a call and he'll tell you what those are.
"I am kind of confused here because the instructions are a lot to be desired for detail. I have everything else set up for 9mm and ready to go but the powder and expander problem."
If you want to get going, just use your Lee powder measure and it'll work fine on that press.
"Maybe I should just go out and buy a whole set of Hornady dies, but if I could use mine I would rather do that."
Hornady dies are different than Lee dies and won't help you with the problem. If you want powder through case expansion with that press, you'll have to buy at least the case actifvated powder drop, appropriate expander insert and possibly a LnL powder measure, if that one can't be adapted. So, wiht shipping, $70.00 or so for the CAPD and insert and more if you have to buy the newer powder measure.
"Any suggestions would be greatful."
Use the Lee powder measure since you have it. It works fine and you'll be money and marbles ahead.
BTW, these kind of problems is why I was suggesting you get the LnL instead. It comes with the case activated powder drop and all you'd have to buy would be an insert for 8 bucks or so, which you could have had shipped with the press.
Dave