Although I am not a (Bib)TeX guru here are some questions and hints to check if your installation of MikTex/LyX is correct:
> When I try to export a PDF file I get one error box with a bunch of lines in > it say something like > > "Warning: Citation 'some citation' on page 4 undefined on input" > > I don't understand why this is happening. I have my bst in the same > director as my lyx file. The dir structures are essentially the same as on > my Linux system where the lyx files were originall created. First of all I don't think it's a LyX problem but -- as mentioned in all responses -- a TeX problem due to any difference between UNIX and Win32/DOS. So far as I do know ( see above: I am not familiar with BibTex ;-) your citations are located in a bib file and a bst file is a style file which tells how to present your references. (Right?!). So have you tried to use any of the standard bst files (e.g. plain.bst) that come with MikTeX? If that works with pdftex (and it does on my Win2000/MikTeX-system) we definetly know that anything with your bst file is wrong in the MikTeX contents. On the other hand: Are you sure that your citations are complete? pdftex told that 'some citations' are undefinied. So the others seems to be available (if present). My bib files all are DOS files (CR/LF)! Have you tried to change your bib (not the bst) file to DOS? (In vi use ':set ff=dos' and then ':wq' to save your file). Maybe that can fix your problem. Claus