<p>I have installed Delphi Prism and XNA Game Studio 3.0. I have managed to translate to Delphi Prism XNA Tutorial 1 "Displaying a 3D Model on the Screen" (<a href="http://msdn.microsoft.com/en-us/library/bb197293.aspx" rel="nofollow noreferrer">http://msdn.microsoft.com/en-us/library/bb197293.aspx</a>). 
Project compiles fine, but I cannot load a model. It looks like there is a new "contentproj" type in XNA that is not in Delphi Prism...
Any idea how to get it to work?</p>

I haven't done any XNA stuff yet, but here is my best guess :-)
So, the Content Project type is a sub-project for a standard XNA project that just compiles the game content (textures, sound etc) as a nested compile process, correct?
So I would assume that there must be some reference to the sub-project in either the project file or the solution file, perhaps the best way would be to create a simple XMA proj in C# or VB and look at the generated meta-files (csproj, contentproj etc)
Edit:
Oh, I'm suggesting here that you manually create the contentproj file and insert the reference, once you know what they look like, I assume that VS will then allow you to add, delete your content etc
That then just leaves the question of how is the XNA content pipeline compile process is fired, if it doesn't "just happen" that might be a question for marc hoffman et al
Hope this helps a little, its just a guess.
Good to see you in StackOverFlow by the way.
Rgds Tim Jarvis.