First things first, this program has some amazing potential. I only heard of it yesterday and damn am I impressed. Anyways, on the matter at hand. <img src="{SMILIES_PATH}/icon_smile.gif" alt=":)" title="Smile" />
I had this issue, and went searching. Turned out there was a Construct folder in Application Data, but not a Scirra folder. I at first figured that the Scirra folder name must have been used in an older version of the program, and the Construct folder has replaced it at some point (functionality wise). I almost shrugged it off, but decided to create a Scirra folder just to be sure. BAM, worked straight away. It would seem that the program has tried to place the Temp.exe in here only to find that the folder doesn't even exist.
Not sure whether this is the same for everyone, but at least give it a go.
Short Version: Create a Scirra folder in your Application Data.