Side note: The windows installer for LyX installs epstopdf (right, not eps2pdf or something else) by default along with the miktex LaTeX distribution.
It also sets the required converter rule automaticall (it's equivalent to what wvengen said, but LyX-win just does it like this):
EPS -> PDF (eps2pdf): epstopdf --outfile=$$o $$i
Side note: The windows installer for LyX installs epstopdf (right, not eps2pdf or something else) by default along with the miktex LaTeX distribution.
It also sets the required converter rule automaticall (it's equivalent to what wvengen said, but LyX-win just does it like this):
EPS -> PDF (eps2pdf): epstopdf --outfile=$$o $$i