LyX Problem when referencing. Just question mark [?]

LyX Problem when referencing. Just question mark [?]

I am very new to LyX (no LaTeX background whatsoever) and cannot manage to properly insert citations. The problem is, within LyX the citation seems ok [Sayer], but when I render the PDF, I only get [?].
I have found similar problems, but with that information I can't make it work.
LyX: Question mark [?] instead of reference number after installing new .bst file
Question mark instead of citation number
As I understand, the two possible problems are unicode related, and some communication problem between BibTeX and LyX.
I can insert citations from LyX, which means that at least it knows where the DB is, and apparently "understands" it. It's just a test, but this is what the DB contains (no strange unicode)
@book{Sayer,
  author={Natalie J. Sayer},
  title={Lean for Dummies}
}
And... when I check the log Document > LaTeX Log, I get the following Warning:
LaTeX Warning: Citation `Sayer' on page 1 undefined on input line 124.
Which yes, makes all the sense of the world, but I don't know what to do next.