What happens if you open a DOS window in the <lyx>\Resources\scripts directory and run TeXFiles.py there? (If Python files are properly registered -- meaning they show up in Explorer with a Python icon, which I won't even attempt to describe -- you can just type 'TeXFiles.py <return>' to run it; otherwise, you'll need to run 'python TeXFiles.py', and maybe supply the path to python.exe.)
Also, when you click Tools > TeX Information, is the file list empty? /Paul
