M.2 SSD is Samsung MZV7S2T0BW This is a 2TB device.
PCI carrier board is HP MS-4365 Make sure you get one with a heatsink and two thermal conductive pads. One of the pads is slightly thicker than the other. The thicker one goes on the heatsink, the thinner one goes on the board, and the M.2 SSD goes inbetween them.
With the heatsink, the M.2 SSD will run at about 45C. Without the heatsink, it will run at about 65C or higher. It will throttle its performance at these higher temperatures, and presumably wear out sooner rather than later.
HP Z240 SFF has four PCI slots. Install the MS-4365 carrier board into the 1 PCI Express Gen3 slot x 16 mechanical / x 4 electrical (LP, half length) slot with the low-profile tang. Connect the board to the terminal on the motherboard for the activity light.