C:\Documents and settings\alstrup\My documents\My file.lyx C:\Documents and settings\alstrup\Desktop\My second file.lyx C:\My third file.lyx
or you ignore the path and just do (like all the Microsoft tools including Office does)
My file.lyx My second file.lyx My third file.lyx
You never want to present the 8.3 name.
Regards, Asger