Thank you very much to Juergen Vigna, Roger Williams, Tony Dancer and Jose
Oliveira. The compose key is working now. 

However, similar to what happens to Tuuka, I am able to use the
compose key with Xemacs, xterm, kmail, etc, but NOT with lyx (I am using
version 1.1.3). 


In case this helps anyone else, this is why I had such a hard time:
I had added the "keycode whatever = Multi_key" to my .Xmodmap file. In fact, in
desperation, I had made the right control, the windows keys, and the
scrolllock all multi_key's but it still didn't work. The reason was that at
the very end of my .Xmodmap file all Mod's were cleared, and although most of
them were added again, not the Multi_key. (I had already done some remapping of
keys a while ago, using xkeycaps, and didn't want to discard my .Xmodmap file
altogether).

Things got fixed when I 
added :
"add Mod3 = Multi_key" to my .Xmodmap file.

In fact, I realized the problem when I renamed my .Xmodmap, and started from
scratch with a simple .Xmodmap that only included the 
"keycode 109 = Multi_key" as indicated by Juergen.

And, as explained in this list, I have been able to set the compose key by
just modifying the .Xmodmap without touching the XF86Config file.


Thank you very much to everybody again for persisting in helping me.

Ramon


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