If you download all the necessary files from the LyX for Win32 page (including the ghostscript4.03 - version there) there should be no problem.
You can extract ghostscript manually by copying gs-4.03.tar.gz to your Cygwin root directory and executing "tar -xvzf gs-4.03.tar.gz".
Of course you need a Ghostscript - Version too for Windows (try Aladdin Ghostscript)
After that you have to run the "SetupGS403.sh" from a shell within your X-Server or Cygwin.
Then start LyX and exit. Now a "preferences" file is in your ".lyx" - Directory in your home directory.
Insert the following line into the preferences file
 
   \ps_command "/apps/gs4.03/bin/gs"
After that LyX should be able to display EPS files.
For making or exporting dvi or ps you'll need to install the FULL MiKTeX 2.1 version. Otherwise there are several *.sty - files mising. You can download them from
After downloading and saving within your localtexmf directory you should run "initexmf -u".
If you have set the PATH for MiKTeX binaries (C:\Programme\MiKTeX\miktex\bin) correctly then everything should work fine. It's very helpful to have a look at the latex - log - file. (View --> Latex logfile). There you can see whether are STY files or something is missing or not.
 
Christoph

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