Just updated from Windows 8.1 to Windows 10 and now when I try to open any project on Delphi 2007, I get his error :
Unable to load project xxxxx The
I suspect that you've done an in-place upgrade of Windows. That is probably not compatible with your Delphi installation. Specifically the msbuild target files that you identified in your answer.
But there may well be more issues than this. I recommend performing a repair install of your Delphi. I believe that will bring the Delphi installation into line with the new OS. If you are at all paranoid about in-place upgrades and repair installs then you might contemplate a full Delphi re-installation.