Yes, I'm answering to my own question, because I found the solution and I hope it helps other people. This is what I did:
1) rename the file dclXq.dproj to something like 0dclXq.dproj, so that the compiler would not read it
2) open the file dclXq.dpk and right click on the project name, then click on the "Install" option from the dropdown menu, and everything worked: the components TxQuery and TSyntaxHighlighter were installed.
Having read many other posts reporting the same problem, I hope this helps.