Only the DirectX installer connects to the internet IIRC. You can hit cancel on the DirectX installer and Construct will carry on installing, it won't cancel the entire setup. But even if you have DirectX 9.0c you might not have the "optional" updates they release from time to time, that Construct requires (bad naming on Microsoft's part IMO).
You need the DirectX end-user runtime for August 2008 or newer on your offline PC, so to get that head over to microsoft.com and download the latest full DirectX installer. Then you can copy that to your offline PC, install it, and Construct should work (you can cancel away the DirectX installer that appears during Construct setup).
The offline DirectX setup is around 80mb. Considering Construct itself is under 15mb, we used the web setup to download the required files instead. (I think SourceForge also might not like basically becoming a file server for the DirectX setup.)
Anyways, that should work, let us know if it does.