Paul:
We may need a developer to help out with this (someone familiar with
the operation of the graphics conversion script).
I sent the message to the developers list and Enrico Forestieri
answered that the problem occurs because LyX's temp directory contains
non ASCII characters (the problem of using a portuguese version of
XP...).
Enrico provided a patch to fix the bug, but this seems to useful only
for developers. I simply created a directory
C:\Documents and Settings\Fernando\Local configurations\Temp\
and set this to the Temporary directory in Tools > Preferences >
Paths. Now is working fine.
Thanks for the help.
Fernando
