Hey, I just wanted to let you know that I figured out the problem. I downloaded the GuiStudioMdl utility for kicks, but surprisingly it worked, so I looked at the commandline it generated to call studiomdl.exe and it looked like this:
studiomdl.exe -game "c:\program files\valve\steam\steamapps\SourceMods\DeepBlue" "C:\Program Files\Valve\Steam\SteamApps\megafont\sourcesdk_content\DeepBlue\modelsrc\PalmTree.qc"
However, at first I had the purple checkerboard texture on my model. Then I had to decompile the original textures so the source files were available to the model compiler and it works now. So the problem was that I didn't include the -game command line argument to tell studiomdl.exe which game I was compiling the model for. I didn't do that because the tutorial on this site about compiling models didn't even show that command line argument in the example.