Heiko:
I experienced something similar with my installation of LyX+Aspell
under Widnows. In my case the solution was the following:
1) Unistall the current Aspell
2) Get the dictionary files of Aspell6 from the LyX wiki page
http://wiki.lyx.org/Windows/Aspell6
Do not use the dictionaries from the GNU page.
3) Before installing any dictionary, you must install first the
english dictionary. This will be automatically installed in:
Document and Settings\All Users\Application Data\Aspell\Dictionaries
4) After this you can install any other dictionary, the problem is
that some of them may not install in the proper directory. If this
happens, you must manually move the files to the same directory:
Document and Settings\All Users\Application Data\Aspell\Dictionaries
At least, this worked for me.
Fernando