So you've just set up your new turntable, lowered the needle onto the record...and it sounds awful! Noisy, distorted and just plain loud, it's certainly not what vinyl should sound like. This problem is usually caused by multiple phono stages being connected.
A phono stage boosts the very soft signal that comes out of a turntable up to a level that your amplifier or powered speakers can work with (called "line-level"). Phono stages may be an external box (like the Pro-Ject Phono Box), or built into your amplifier (usually an RCA input marked as PHONO), or built into some models of Pro-Ject turntables like the Essential III Phono. If, for example, your turntable has a built-in phono stage and is then connected to the PHONO input on your amplifier, that signal boost happens twice, leaving you with an extremely loud, distorted sound.
If you find your turntable sound is distorted like this, the best option is to plug the turntable into one of the line-level inputs on your amplifier (usually marked as AUX or CD or TAPE inputs). You can also check on the underside of your turntable to see if there's a switch to turn off its phono stage; not all models will have that option, but the Essential III Digital, for example, has a built-in phono stage that can be switched off.
If you're still getting distorted sound, it's worth checking that you've got the right tracking force set too.