I'm running Windows XP, not Vista.
I tried making a program consisting of only a sprite and only a button. Neither ran from the EXE they created, both of them ran from preview within the program. They both threw me the same runtime error.
I can confirm this is a problem with me personally though, as I had my friend run one of your demos from the site and he said it worked fine. Then I had him run one of the programs I have made (using preview) from EXE, and it worked great for him.
I exported an empty, new project, and it ran from EXE, so it must have something to do with the plugins.
UPDATE: Looked in that folder, C:\Documents and Settings\Brian\Local Settings\Temp\cap48C.tmp\1.sfx
The file is there, not to mention the files from every attempt at trying to run a program made with Construct are there littering the Local Settings folder. For some reason they are there but the program cannot access them, and is not deleting them.
My local settings folder has a green check mark that has something to do with sharing on it, but network sharing is disabled for that folder. The folder is read only but according to the Microsoft Knowledge Database that is normal.