The DirectX9 web installer didn't work for me either, but then I just hit cancel and finished the installation of Construct anyways, then went and downloaded the latest set of the end-user runtimes (or whatever they're called), installed those manually, and everything was working fine.
EDIT: Oh! And I use Vista, and the particular web installer with the Construct setup wasn't the problem for me, tried downloading one directly from Microsoft and it didn't work either, so I might've had a different issue.