Jay Kerns has recently notified me that for LyX-Sweave on MS Windows one needs to add the bin directory of R installation (say contrib/extra/lyx/) to the PATH system variable. He is right, since LyX can not find R binary otherwise. On MS Windows I always add R to PATH variable, since I often use R CMD check or other commands in MS Windows Command Tool - terminal. New version of INSTALL file will be updated with this information. Goosh, administration of Linux is getting better and better in comparison to MS Windows, at least for me.