> Right after I installed lyx, it spent a lot of time downloading stuff.
Lyx is checking for some classes, miktex does not have them so it installs them automatically. 1.4.3 will give you more prompt information, but this process will take the same long time.
Windows being Windows, the most I'm willing to say is that LyX typically installs properly in C:\Program Files (but your actual mileage, if you get any, may vary).
:-)
If you clean out an detritus and try another install under C:\Program Files, it might fly this time. If not, try opening a command prompt in the LyX bin directory and run lyx.bat from there. That way, if it spits up an error message, you'll have a chance to see it without the window closing on you.
This is what I would suggest. Bo