I would advice to install the free reader SumatraPDF, which is the best choice for TeX files: it doesn't lock the .pdf files when you recompile, allows for direct and inverse search (don't know if this is important for LyX, but in a traditional TeX editor, it lets you go back and forth between a point in the .pdf and the corresponding line of code), is very small (< 3Mo) and ultra-fast).