XAML is WPF basis, and WPF is .NET and Delphi 2009 for
Win32 is (as it's name suggests) NOT .NET, so I don't see a way how you could use WPF in your Delphi (native) Windows application without using Interop-things like Hydra from RemObjects or Reverse P/Invoke, which is horrible complicated.
Edit: Supplemental
The TMS Components are for Delphi 2006 and 2007, not for 2009, so I think that's the reason why you can't install them. Perhaps you should contact TMS directly and ask for Delphi 2009 support for this component?