Either you have missing files or the compiler can not find them. Search the install folders to make sure the files are present and the folder that contains the files is in the IDE path. To set the path on the main menu select: Tools-Options-Delphi Options-Library-Library Path. Enter the path to the files.
I had the same when I tried to install the latest version in D2010 Pro. Turned out that the path to the source wasn't added to the IDE during installation. I had to do it manually, and after that everything worked as expected.