I tested adding the LyX PATH extension to the PATH variable and LyX works fine now. Unfortunately this results in cygwins's python version beeing no longer accessible as LyX's python is beeing used now. It's a workaround but i'd really like to make LyX add it's PATH prefix as intended.
I noticed that the PATH variable is actually called 'Path' instead of 'PATH' on my WinXP machine. Maybe this matters...
