Export the EXE as normal, then copy python26.dll in the same folder as the EXE. I'd suggest you use a different install making program if you want to create an installer, or just zip the game and dll together.
The python26.dll is in "C:\Program Files (x86)\Scirra\Construct Classic\" or "C:\Program Files\Scirra\Construct Classic" if you're running Windows XP or similar 32 bit OS's