You can approach it a few different ways.
One it is to use html elements with css and javascript to make something like that. At least in theory I think you could. Be prepared to fly a bit blind to do it since it's beyond the scope of what Construct helps you do.
Another idea is to just build it out of sprites, text, buttons, etc... You could put it on a layer so everything can be hidden in one shot. This is the approach best suited for doing it in Construct. For more complex dialogs you'll have to deal with it case by case.