Don't know whether this is relevant or not. This started happening after I installed the installer (LyXWin141preSmall-1-9.exe) from http://developer.berlios.de/project/showfiles.php?group_id=5117&release_ id=9632 (I had all the programs installed though, but still wanted to know whether this version would have better instant preview) After the official version of LyX141 was released, I uninstalled the installer and installed lyx-1.4.1_win32_setup_v1.exe from http://wiki.lyx.org/Windows/LyX14x
The problem with pdf viewing started then. Incidentally, this problem was there even when I had LyXWin141preSmall-1-9.exe installed. Thanks