I was following the discussion because I have the same problem.
Alas, your Kornel didn't show any errors, but it didn't show the graph n the generated dvi or pdf !!!
Alains problem was, that he insert the image into the caption, which causes an error. It is a bit difficult to insert a float in the right way. With Insert->Float LyX is by default in the "caption mode", where you should not insert the image or tabular. Insert the caption, hit enter and then the image/table. If you want the image/tabular before the caption, then put the cursor in front of the caption and then enter.
Herbert
