>> What's lacking ?
> 
> 1) I want to use Windows and Visual Studio 2010 to code (I personally like 
> this idea because of the debugging features of this IDE).

I do that as well.

> But I need to pass thru several steps before generate the "Solution" for 
> Visual Studio (all that thing with development\cmake).

It's really simple.

1. Download CMake if you haven't done it yet and Install: 
http://www.cmake.org/cmake/resources/software.html.
2. Download and install Qt.
3. Either run CMake Gui, and set "Where is the source code" to 
"<path-to-lyx>/lyx/development/cmake" and set "Where to build binaries" to 
"<path-to-lyx>/build/development/cmake" and hit Configure.

(Choose Download dependencies)

A MSVC project is created for you.

I might be forgetting something, but it is not difficult at all.

> 2) When I install and run LyX, I see that some files were created in the user 
> profile (AppData folder). What exactly these files are for?
> They're just configuration files automatically created in the first run or 
> they are part of the installation process?
> If they're just configuration files, couldn't I safely remove these files? 
> I'm not sure, but it seems that I corrupt my instalation when I do that.

I guess you can remove them safely (if you don't have anything valuable in 
there).

> 
> 3) In my AppData\Roaming folder (eq. to Application Data on WinXP), I also 
> have two folders for LyX 2.0: one named "LyX2.0" and other named "lyx20".
> This is just some typo in the code, something left from an old installation, 
> or they're really named this way?

Something left from an old installation or from a different installer.

Vincent

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