John Hughes wrote:
I'm running on WinXP with MikTeX and ImageMagick installed.
Have you checked that your MikTeX is up to date? Someone else on the list (also a MikTeX user) reported a similar problem, and after reinstalling LyX and updating a few MikTeX files the problem disappeared. It wasn't clear whether the reinstallation of LyX or the update of MikTeX cured the problem (or whether Loki just got bored and decided to pick on someone else), but updating MikTeX is what I would try first.
Assuming that doesn't do the trick, you might open a document in LyX, try to View->PDF (pdflatex), and (with LyX still open) peek into the temp directory and see if the missing image files are there (should have both EPS and PDF versions of each image).
/Paul
