Ok it seems that on (my) WinXP box as well as Python you also need a set of Python extensions which can be found here. There are files to cover the latest Python releases.
https://sourceforge.net/project/showfiles.php?group_id=78018&package_id=79063&release_id=319716 Perhaps something should be added to state this additional step for Win Machines. It may be that it only affects Instant Preview but I don't know anything about Python or how it is used by Lyx. Geoff
