I guess it depends on what version of windows you have. The latest I've tested as working is win7 32bit I believe.
That dll is an update for dx9. Typically you get it installed with dxwebsetup.exe that's in Construct's install directory. The link fm4fanAT posted should be basically the same. If windows won't let you install it then that's an issue on their end,
Copying dlls over manually probably has it's issues as well, such as other dlls it depends on or relying on 32bit windows or something. It probably can be done but I'll probably not look into it further.
You could always look here and see if this works: