Check the output switch in the back and make sure you have it set correctly. Both the composite and component outputs run simultaneously, but the menus only show up on one or the other depending on where the output switch is set. If your projector only takes, say, 720p and you have the switch at 1080i, you'd see no picture from component, but a picture with no menus from composite (assuming your projector doesn't side-convert).
When you change the switch setting, wait a few seconds for the box to cycle. It's not instantaneous.
When you change the switch setting, wait a few seconds for the box to cycle. It's not instantaneous.