It looks like this is being ignored, so a simple work-around is to get the files directly from
http://www.ctan.org/tex-archive/biblio/bibtex/contrib/oxford/
and place them where your lyx file lives.
It looks like this is being ignored, so a simple work-around is to get the files directly from
http:// www.ctan. org/tex- archive/ biblio/ bibtex/ contrib/ oxford/
and place them where your lyx file lives.