To build the runtime you'll need:
DirectX August 2008 SDK
To build the IDE you'll need:
DirectX August 2008 SDK
Profuis 2.84
The free version of profuis won't work since doesn't have all the features that the professional version has.
The runtime solution has a lot more choices than just release and debug, here are basic three that are used:
DX9 this is the runtime used when exporting to exe.
DX9_p this one is used when previewing.
DX9_pd this is used when previewing with construct's debugger.
To build the runtime with python scripting you need to uncomment "#define PYTHON" in stdafx.h and rename the built exe's to DX9_s, DX9_ps and DX9_pds.