I'd check your digital audio control center. I'd be willing to bet (a small bet) that the coaxial connection is actually and FM Radio input. If it *is* a coaxial video input, then the system should have some sort of video output as well and you should use that to connect to your new projector.
If, as I'm guessing, the coaxial port on the sound system is not for video input, probably your easiest solution would be to get a DVD player or VCR that has a coaxial input and composite or s-video output. That way, you could also watch DVDs / VCR tapes on your projector as well.