Eben Oldmixon writes:
> 
> %which lyx
> /usr/bin/lyx
> %lyx
> lyx: cannot connect to X server

The X server is probably not running or you forgot to set the DISPLAY
environment variable.

> What should I do?  Thanks in advance for help and insight.

Try whether setting DISPLAY helps.
% DISPLAY=localhost:0          <= if you use the bash shell
% setenv DISPLAY localhost:0   <= if you use the tcsh shell
and then launch lyx again.

However, it seems that you are using the official cygwin lyx package,
which is quite old (version 1.4.5). You could try the latest version here:
ftp://ftp.lyx.org/pub/lyx/bin/1.6.2/lyx-1.6.2-cygwin.tar.gz
This version doesn't need a X server. Un-tar the archive (using the
cygwin tar) and then follows the instructions for installing it.

-- 
Enrico



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