I think I can make a generalization here and say that, if you don't know where to look for sheet metal other than Home Depot, you probably face a long and painful experience and poor results trying to do metalworking. Go ahead and build an MDF enclosure that follows the concepts of most DIY projectors. It won't burn up, just keep the light from contacting any wood.
You'll end up with better results and no trips to the hospital, those fresh sheet metal edges can be really nasty if you don't know what you're doing.