A couple of things you should check for: 1. location of bst file -- needs to be where tex can find it.. if it's in a local texmf directory, then that directory must be in the path.. check the lyx help... there's a section on this..
2. Maybe closing the file and reopening it might help.. also check the .lyx file from a command prompt to see what bst file it has in there.. just to make sure that the bst change did actually register... And yes, do check the Latex log file and see which style file it reads in... nirmal
