LyX requires a TeX distribution to operate. A TeX distribution is the collection of programs, fonts and packages/classes that are required to produce documents with TeX. For Windows, the LyX installer should have installed MikTeX if it found no distribution installed. If that didn't happen then you may need to install MikTeX separately. You can get MikTeX here: http://miktex.org/.
You can verify whether you have a working distribution by typing in
latex in the START menu. You should see something like the following: (this screenshot is from a German system, but other than that, the display should be similar).
(If you type MiKTeX you should also see something related MikTeX itself).
Alternatively you can opening in a command window (windows key+R CMD) and typing:
If these methods fail to turn up anything, then you need to install MikTeX yourself.