The difference is quite simple: Delphi was designed originally to create applications which run on Windows OS without any other 'interpreter'. That means that you were developing an application in Delphi and Delphi will generate the machine code needed.
When .NET arrived the guys from Borland create a separate compiler which was a layer on this technology, so the Delphi developers continue to create applications which work on that, without being forced to learn a new language and a the new platform(more or less).
From my knowledge the only tools which are more or less 'Delphi' developer friendly are Delphi for .Net(from old Borland) and the Prism compiler(known also as Oxygene) from RemObjects.