Lancelot,
I use Tradingsolutions and I know you can lag inputs to the NN by any number of periods, e.g. "-5" (use the input value from 5 periods ago).
It's a good piece of software, just don't expect any silver bullet.
Once you learn it and build yourself a few dozen good models for some futures, etfs or stocks you can probably make yourself 20-30% returns annually with decent risk/reward ratios (I am not saying more is impossible). Anybody who expects 100% returns every month will be disspointed.
I find myself putting a lot of work into this, screening around 200 neural models every day. Easily 4-5 hours work every day plus some homework (=development, testing) on the weekends. But it's worth it ... for me.