* is there a special directory, where they should be?

It is easier if both your figures (pstex and pstex_t) are in the same directory
as the lyx file (since, as far as I understand, the pstex_t includes the path
for the pstex).

* 2. ->insert->file
*    I have given filename.pstex_t
*    It does not display anything in xdvi.

I am just a novice lyx user, so forgive me if I cannot answer your needs:

Insert a \usepackage{epsfig} in your preamble (doesn't work without it here)
Insert float/Figure
and inside the figure red box, try
Insert/Include File (input checked)

It works at least for me.

Since a picture is worth a 1000 words, a sample file is included.
If it doesn't work for you, I can't help.




#This file was created by <duvall> Mon Mar 13 14:02:36 2000
#LyX 1.0 (C) 1995-1999 Matthias Ettrich and the LyX Team
\lyxformat 2.15
\textclass book
\begin_preamble
\usepackage[T1]{fontenc}
\usepackage{fancyhdr}
\pagestyle{fancy}
\usepackage{babel}
\setcounter{secnumdepth}{5}
\setcounter{tocdepth}{5}
\usepackage{setspace}
\onehalfspacing

\makeatletter


\usepackage[T1]{fontenc}
\usepackage{amsmath}
\pagestyle{headings}
\usepackage{babel}
\setcounter{secnumdepth}{5}
\setcounter{tocdepth}{5}
\usepackage{graphics}
\usepackage{epsfig}
\usepackage{setspace}
\onehalfspacing

\makeatletter

\makeatother
\end_preamble
\language french
\inputencoding default
\fontscheme default
\graphics default
\float_placement htp
\paperfontsize default
\spacing onehalf 
\papersize Default
\paperpackage a4wide
\use_geometry 0
\use_amsmath 1
\paperorientation portrait
\secnumdepth 5
\tocdepth 5
\paragraph_separation indent
\defskip medskip
\quotes_language english
\quotes_times 2
\papercolumns 1
\papersides 2
\paperpagestyle fancy

\layout Standard


\begin_float fig 
\layout Standard


\begin_inset Include \input{gblt2ch.pstex_t}

\end_inset 


\layout Caption

Test figure.
\end_float 
\the_end
\begin{picture}(0,0)%
\epsfig{file=gblt2ch.pstex}%
\end{picture}%
\setlength{\unitlength}{0.00087500in}%
%
\begingroup\makeatletter\ifx\SetFigFont\undefined%
\gdef\SetFigFont#1#2#3#4#5{%
  \reset@font\fontsize{#1}{#2pt}%
  \fontfamily{#3}\fontseries{#4}\fontshape{#5}%
  \selectfont}%
\fi\endgroup%
\begin{picture}(6417,4335)(-8,-6490)
\put(2145,-3031){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$P_a$\special{ps: grestore}}}}
\put(2145,-3481){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\familydefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\tilde{x}$\special{ps: grestore}}}}
\put(2145,-2581){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\familydefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$x$\special{ps: grestore}}}}
\put(2145,-3931){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\familydefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$P_s$\special{ps: grestore}}}}
\put(2145,-4381){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\familydefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\widetilde{\widetilde{x}}$\special{ps: grestore}}}}
\put(2145,-6181){\makebox(0,0)[rb]{\smash{\SetFigFont{12}{14.4}{\familydefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\hat{x}$\special{ps: grestore}}}}
\put(2566,-2581){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$b_{e0}$\special{ps: grestore}}}}
\put(3466,-2581){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$b_{e1}$\special{ps: grestore}}}}
\put(4366,-2581){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$b_{e2}$\special{ps: grestore}}}}
\put(3691,-2311){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$x_3$\special{ps: grestore}}}}
\put(3241,-2311){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$x_2$\special{ps: grestore}}}}
\put(3241,-4156){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\widetilde{\widetilde{x}}_{02}$\special{ps: grestore}}}}
\put(3241,-5551){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\widetilde{\widetilde{x}}_{12}$\special{ps: grestore}}}}
\put(3241,-6451){\makebox(0,0)[b]{\smash{\SetFigFont{12}{14.4}{\rmdefault}{\mddefault}{\updefault}\special{ps:
 gsave 0 0 0 setrgbcolor}$\hat{x}_2$\special{ps: grestore}}}}
\end{picture}

gblt2ch.pstex

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