I want create some hanging shelves using zinc E-Z Drywall Anchors & Sisal rope. How much weight could this method bear?
There are ceiling mounts available for most projectors that let you attach right to the ceiling, that might be easier.  

However, there is an adjustment that lets you use most projectors at an oblique angle to the wall, look for a "keystoning" adjustment in your projector's manual.  This would allow you to get a perfect rectangular image with the projector in it's current spot.