In the Windows installer don't forget to select to install the spell checker for "Magyar".
Testing the Installation
Run LyX and press Ctrl-N to open a new document. Write a few words in English, and press Ctrl-D. Yap, MiKTeX's DVI-preview program should be opened; check that it displays the text correctly.
Open another document and call the menu Document → Settings. Select there in the Languages section Hungarian, press OK and type in a few words. Press Ctrl-D and check the output.
