My first code golf!
Ruby, 309 301 283 271 265 characters
s=gets.to_i;d=s*2-1;a=Array.new(d){' '*d}
e=d**2;p='*'*e;2.upto(e){|i|2.upto(e/i){|j|p[i*j-1]=' '}};p[0]=' '
s.times{|i|k=s-i-1;l=2*i;m=l+1;o=l-1
m.times{|j|n=j+k;a[k][n]=p[l**2-j];a[n][k]=p[l**2+j];a[k+l][n]=p[m**2-m+j]}
l.times{|j|a[j+k][k+l]=p[o**2+o-j]}}
puts a
