Lyx's "Insert -> Program Listing" is internally based on the listings package, which provides a a plenty full of options to influence the typesetting. You can enter such listingsoptions on the "Advanced" page of the "Listing Settings" dialog. For instance, entering
keywordstyle={\color{blue}}
there would typeset all keywords in blue color. For a quick start take a look at other questions with the listings tag – or consult the (excellent!) listings documentation
The reason you do not "see any difference" in your current setup may be a font issue: The culprit is the standard typewriter font in LaTeX, which does not have a boldface version; however, the default of listings is keywordstyle=\bfseries, that is, keywords are typeset in boldface. So just try another typewriter font in "Document -> Settings -> Fonts" and see if this makes a difference.
(BeraMono is a good font for typesetting listings.)