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I just installed the basic version of MiKTeX 2.9 on my Windows XP system. I compile this very simple document (test.tex) with TeXworks, using the default pdfLaTeX command:

  \caption{Segment $s$.}

Where the input is a simple figure with a segment (a polyline) with a label $s$. After compiling, I get the label in the figure, but not the polyline.

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It seems like you're exporting the file from Xfig using the Language "Combined PostScript/LaTeX". This exports a .pstex_t, a .pstex as well as a .eps. Try compiling this with latex->dvips->ps2pdf rather than pdflatex. – Werner Feb 20 '12 at 19:01
It is not exporting the .eps (don't know why). Should I do it manually? – Janoma Feb 20 '12 at 19:04
Update: even when exporting the .eps manually, it doesn't work. Do you want me to copy the code from the .pstex and .pstex_t files? – Janoma Feb 20 '12 at 19:07
First try compiling with latex->dvips->ps2pdf and see if this works. The .pstex file is most likely the same as .eps. – Werner Feb 20 '12 at 19:09
I've converted my comment(s) into an answer, since this seemed to solve your problem. If you still have problems correctly setting TeXworks to automate the latex->dvips->ps2pdf compiler sequence, you could consider posting a follow-up questions. – Werner Feb 20 '12 at 19:27
up vote 2 down vote accepted

When choosing the export Language "Combined PostScript/LaTeX", Xfig exports a .pstex_t (containing overlay text information) and a .pstex (similar to EPS format) file.

Compile your document using a latex->dvips->ps2pdf sequence to produce the correct output.

In general, you could also remove the graphicx package option dvips, since the correct driver should be detected automatically.

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