How do I open a downloaded psdx file (still an unopened / unpacked download) in Lightroom 4.1 on computer running Windows Vista?
And don't say "With great difficulty".
You'd have to convert the psdx file into a format that Lightroom understands by going through Photoshop CS5/CS6 and resaving it in a different format.
This is the process for the Photoshop part
How do I open a Photoshop Touch file in Photoshop, and vice versa?