I think that projector creation is intentionally disabled in
the trial version of Director 11. It would be nice to test this
core function of the application before purchasing it, but I reckon
there are obvious reasons for disabling it in a trial release.
Try kicking out a shockwave file and looking at it in your
web browser. This is obviously not a perfect solution as shockwave
in a browser window is hardly the same as an .exe on your desktop,
but it's as close as you'll get with the trial version.