You were trying to import an Rnw file into LyX, which is not supported in LyX 2.0.6 yet. It is scheduled to appear in LyX 2.1: http://www.lyx.org/trac/ticket/7838
When LyX 2.1 is released, you can import via the command line:
tex2lyx -n -m knitr stest.Rnw
I'm not sure why LyX needs to call Rscript
when importing a file. You may want to file a bug report to LyX.