Ian Holliday has informed me that my solution for using Sweave with LyX has additional requirement that I have not stated. Beside LyX & R (obviously) one needs also a variant of Unix shell. I have not realized this before since I usually use Linux, which always has installed a variant of Unix shell. Additionally, I always install a set of Unix tools (via Cygwin or MSYS) on my MS Windows boxes. Therefore, I could not realize that Unix shell is needed. However, I could have figured this requirement since R CMD Sweave and R CMD Stangle (commands that drive the weaving and the tangling process - this two commands are also inserted in LyXs' preferences file) use shell scripts Sweave.sh and Stangle.sh. I have provided additional info about this issue in INSTALL file. New version of the Rnews paper will appear soon.