In the Windows installer don't forget to select to install the spell checker for "Vietnamese".
Testing the Installation
Run LyX and press Ctrl+N to open a new document. Write a few words in English, and press Ctrl+R. A PDF viewer program should be opened; check that it displays the text correctly.
Open another document and call the menu Document → Settings. Select there in the Language section Vietnamese, press OK and type in a few words. Press Ctrl+R and check the output.