MiKTeX has three options for what to do when a document needs a LaTeX package not currently installed: automatically download and install it; ignore it; or ask for a blessing. When LyX configures itself, it searches for approximately 2^100 packages (my subjective estimate). So I'd suggest setting MiKTeX to "ignore" mode (and then switch back to whatever mode you prefer), or else set it to "automatically install" mode and brace yourself for some heavy traffic. Since I never use it, I can't recall whether "automatically install" mode asks you to pick a repository for the first package. Someone else on the list may know.
Personally, I go with "ignore" mode when I update LyX. The only danger would be if MiKTeX did not have an absolutely essential document class installed. (For instance, some of the help files use KOMA book, so you'll need that.) HTH, Paul
