Had you used Linux I would have said
grep xml *.lyx, but as you are on Windows that is not available. There are several programs that offer similar functionality though including AstroGrep (via https://superuser.com/a/60174) and Grepwin (via Paolo Cereda in chat). A more drastic solution is Cygwin, which is a Linux-like environment for Windows. In the Cygwin terminal you can use
grep as mentioned above.
There is a similar tool available in the Windows command line though,
findstr (via https://superuser.com/a/198474). Open a command prompt,
cd to the directory containing the
.lyx files, and execute
findstr /s /m xml *.lyx
You can save the output to a text file with
> out.txt, i.e.
findstr /s /m xml *.lyx > out.txt
For a small number of files
You could open all of the files at the same time in LyX and use LyX's advanced search function:
Edit --> Find & replace (Advanced). Go to the Settings tab in the search panel and select Open files.