Does the View menu (including the View (Other Formats) submenu) contain options to view the document in any PDF formats? If yes, what goes wrong when you try them (error messages in the log file, for instance)? If no, look in the configure.log file in your user directory (Help > About LyX will tell you where that is) and tell us what the next few lines after "INFO: checking for the pdflatex program..." say.
Paul
