figure caption gives errors when exporting as PDF

[Jon Bendtsen]

Hi

I try to include a .eps in my lyx document. It shows fine, except that i
can not get a caption :-(
There appears to be 5 errors
Undefined control sequence
extra \else
Undefined control sequence
You cant you \relax after \advance
extra \fi

How do people get graphics with captions? and possibly figure numbers  
that can be cross-referenced to?




JonB