I've had this too. It seems to be caused by the fact that gnorpm wishes to get
loads of files (aparently desribing the current status of the redhat
distribution) off the net, and it cannot handle the case that the internet is
not reachable. Opening a ppp connection before selecting the pref dialog (and
leaving it open until gnorpm had finished downloading) solved the problem for
me. It still is serious a bug, and gnorpm should at least warn clearly
beforehand that it needs to access the net. I also think that tools should not
depend on network connectivity unless the can demonstrate that this is an
absolute necessity. And why can gnorpm not be shipped with the necessary files
as of the date of distribution (once you've got the files, gnorpm won't try to
get them again until a certain delay expires; you can set that delay IF you
manage to open the pref dialog...).

Bugs 5523, 5721, 6335 (this one) and 6888 are duplicates (any more takers?).

Well I can confirm this also, except my machine has a 24x7 net connection and it
still does it.

*** This bug has been marked as a duplicate of 6534 ***