Python, 299 characters:
from sys import *
def t(n):
if n==1:return ' '
for i in range(2,n):
if n%i==0:return ' '
return '*'
i=int(stdin.readline())
s=i*2-1
o=['\n']*(s+1)*s
c=1
g=2
d=0
p=(s+2)*(i-1)
for n in range(s**2):
o[p]=t(n+1);p+=[1,-s-1,-1,s+1][d%4];g-=1
if g==c:d+=1
if g==0:d+=1;c+=1;g=2*c
print ''.join(o)
