Nice example Lucid, clean and simple.
In regards to the error.. If you are trying to run it as an exe then follow this guide:
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As far as getting PyGame to work with Construct just use this:
http://www.box.net/shared/kcoxzzt7bz
This has the dependencies for Pygame. You will need to unzip the contents of the Library.zip file into your Construct/Data/Python directory. You will need to check all of the .pyc files per the quickguide, but you can skip PodSixnet and other unrelated .pyc files. The other dependencies (modules.zip) have to be redistributed with your game. Now you don't need ALL of those, but it will be up to you to decide which ones you need based on which parts of Pygame you use!
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Also, make sure you are using .99.93. (from your screenshot looks like 94) so you should be good.