Well, you need to copy Python26.dll from the Construct install directory to the same directory as your game. You should have seen a message telling you that you needed to do that when you enabled Python. If you're not using Python scripts, you can turn it off in Application Properties and you won't need that file.
I copied Python26.dll from the Construct install directory to the same directory as my game. But i still have seen a message telling me that i needed to do that when i enabled Python and the .exe file just disappear.
If i disabled the python from properties no error messages appeared, but the .exe file just appear for a second and then disappeared.
Thanks in advance :)