Also, if someone can explain what TeXFiles.sh is intended to do since on windows XP it fails at line 1. (Herbert or Jean-Marc perhaps). I note no trouble without it though.
By adding the path to lyx/bin manually at line 1 thus:
#!/bin/sh
to
#!C:/lyx/bin/sh
the now script works! It tells me:
Indexing files of type cls Indexing files of type sty Indexing files of type bst
I guess that must mean something in the scheme of things.
Rob S