A few things. First, run 'locate "*.sty" ' to find where all the other style files are located. Put a copy of prettyref.sty there, too.
Second, as root, run 'texhash' so the new style file is made visible to the application.
Third, as a user, go to the Edit menu and click on 'reconfigure'. Shut down lyx and re-invoke it.
At the end, I followed your suggestion, as I meanwhile had the idea of checking in which directory MikTeX puts prettyref.sty, solving my initial problem of choosing the right directory to put the sty file.
Thanks, Rich!
Paul
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