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Unfortunately, MegaUpload has been closed. Is it possible to have another link, or would anyone have downloaded the necessary files before MegaUpload was closed?
Any help is welcome to make xindy work with MiKTeX.

B.A.

Create a project and declare mythesis.tex as main file ("project" menu).

B.A.

First, you shouldn't use eqnarray: it is obsolete and it may give bad spacing. Load amsmath instead, and the align* environment:
\begin{align*}
p_n & = m_{(n)} = \sum_{i} x_i^n, \quad n \geq 1 \\
p_{\lambda} & = p_{\lambda_1} p_{\lambda_2} \dotsb, \quad \text{if } \lambda = (\lambda_1, \lambda_2 ...

Try using (maybe just once) \clearpage instead of \newpage: it forces the printing of all figures and tables.

B.A.

That's strange that "helvet" doesn't give the expected result, since it contains the following line:
\renewcommand{\sfdefault}{phv}
You may try something like this (most parameters come from my own style file, it is just too give a taste of how it works).
\titleformat{name=\chapter}[display ...

1: \renewcommand{\thesection}{\arabic{section}}, instead of \thechapter.\arabic{section}

2: the problem is only that of crossreferences Use a package dedicated to that problem (smartref and so on). However, check first if ntheorem can do exactly what you want.

3: \renewcommand{\thetheorem ...

Here is the exact link to what I downloaded:

ftp://akagi.ms.u-tokyo.ac.jp/pub/TeX/win32/lcdf-typetools-w32.tar.bz2

It only contains the lcdf type tools as a stand-alone application. Of course, I had to move convert.bat as explained before in order to obtain the .pfb's.

By un-tar.bz2, I just meant ...

Personally I downloaded only the lcdf type tools from his website, un-tar.bz2 them in an lcdf/directory, found out what to move and where, and everything went all right.

B.A.

Your error (maybe I wasn't clear enough) is that convert.bat must be in the same directory as the .exe files. So the structure would be the following : let's say the main directory is called lcdf :

lcdf/ contains:
convert.bat, cfftot1.exe, .....
and otf/ , which in turn contains :
MinionPro-Bold ...

I checked what happens. So, you have to put convert.bat in the same directory as the .exe files and the .otf files in a subdirectory that you call otf/. Then running convert.bat will create a pfb/ subdirectory, and the .pfb files will be stored in that one. Just take them and put them in the ...