Error from equation

Below is a MWE. While the pdf output seems ok, TeXniccenter displays error in the equation line. Not able to understand what's wrong. Happens even when I put in the code to close the curly brackets.

\documentclass{article}%

\usepackage{amsmath}%
\usepackage{amsfonts}%
\usepackage{amssymb}%
\usepackage{graphicx}
\usepackage{comment}

\begin{document}
$\mu(S_{QX})=N$ where $S_{QX}=\left\{c\in N \lvert$U_{c}(X) > U_{c}(Q)$\}$
\end{document}

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Welcome to TeX.sx! We don't usually start questions with a greeting, so I've edited the question slightly. –  Joseph Wright Oct 1 '11 at 8:46

Braces which opened by \left must be closed with \right in the same math-part/line.

The next problem is the underscore. It is only available in mathmode.

To avoid combination with left/right you can influence the size via \big or \bigg etc. For more details see mathmode by Herbert Voß.

\documentclass{article}%

\usepackage{amsmath}%
\usepackage{amsfonts}%
\usepackage{amssymb}%
\usepackage{graphicx}
\usepackage{comment}

\begin{document}
$\mu(S_{QX})=N$ where $S_{QX}=\left\{c\in N \lvert U_{c}(X) > U_{c}(Q)\right\}$

\end{document}

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Thank you Marco, the math mode link is extremely useful :-). –  Abhimanyu Arora Oct 1 '11 at 9:10