Hi Roel, I came across this problem recently and I solved it like this: 1. download file subscript.sty from http://ctan.org/tex-archive/macros/latex/contrib/fragments. 2. Create new folder 'Subscript' in your MiKTeX installation folder (e.g. C:\Program Files\MiKTeX 2.9\tex\latex) 3. Copy the file subscript.sty to the folder 'Subscript. 4. Reconfigure LyX.
I am using MiKTeX 2.9 and LyX 2.9 on WinXP. This procedure solved my problem. I hope it can be useful in your case. Regards, Sergey