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LaTeX is a collection of 'classes' and 'packages' and other sorts of files, not a single huge program. Hence, unless you had TeXLive install absolutely everything (and even if you did), you may occasionally find that some document you are trying to create or compile requires a file you don't yet have. Sometimes, that may be because you are trying to use some Document Class that is marked "Unavailable". For example, here we see LyX informing us that the Tufte Book class is unavailable, because the files tufte-book.cls and hardwrap.sty are not installed.
Here, we are trying to use the module Change Bars, but LyX is telling us that the file changebar.sty needs to be installed.
And here, we were trying to view the User Guide as a PDF, but LyX is telling us that we're missing support for French, and that the stmaryrd.sty file needs to be installed.
In most of these cases, LyX has told us exactly what file we need. The "babel" error is a little more confusing, but once you know that babel is the LaTeX package that handles language support, it's easy enough to see that it's French support that's missing.
To fix these kinds of problems, we need to install the necessary packages. The "TeXLive Manager" makes this easy.
(NOTE: Linux systems often do not have the TeXLive Manager installed. In that case, you should just use your distro's package manager.)
You should find the TeXLive Manager on your Start Menu. When you open the program, you will see a Window like this one:
Start by clicking the "Load default" button, to load a list of packages from the default location.
Since we're installing new packages, you can set "not installed" under "Status" and deselect "collections" and "schemes" under "Category". Also, since we're going to be searching by filename, you can deselect "descriptions" under "Match". Now, you can type into the text field under "Match" the filename for which you're looking. Here, I've searched for "changebar", and I see a number of choices, but the "changebar" package is probably the right one. So I select it, and then hit the "Install" button.
TeXLive then downloads and installs the package. Obviously, one can repeat the process for any other packages that need to be installed.
If you run into any problems, then you can also ask for help on the LyX mailing lists.