The principle of each one of the Bandits Pack is to make the game play one Bandit. A new story is told each time, since every expansion offers a specific purpose and new actions for the Bandit played by the game. That Bandit may win, and in that case, all the players lose the game. Thus you need to work together against this "bot." But do not forget that there is only one winner at the end: the richest Bandit, of course.
Each Bandits expansion can only be used with the Colt Express base game. They are not compatible with each other nor with any other expansion.