If yes - try to add "siggraph" package from the MikTeX Package Manager
(available from menu group of MikTex).
This file is not the official one and it is not recommended to use it for
%BEEP% I do not have LyX layout for siggraph only for sigplan. Do you
have your layout file for this style?
LyX didn't yet have a layout file for acmsiggraph, but I now created one. You find it together with
the installation instructions and an example file here:
Please test it out and report me back. When you can use it successfully, I will include the layout
file to the next LyX version.