Or you can use something like Spoon Studio. I have successfully created a portable Construct Classic v1.2 with Spoon (although I got one error Kernel32:encodepointer when building but so far it hasn't affected any functionality). It works correctly running off of a flash drive with only user rights. Three negative with Spoon Studio...
1. It creates the .exe as one big bundle. So its about 200 MB in memory.
2. To update is easy for owner of a license, but if not it's not going to happen (adding new plugins)
3. Its expensive $2K+..so
While the above is kinda pointless with the cost, this proves that at least it can be done. I believe Rojo pointed out a more manual method in another thread.