You have enabled checking of packages via GPG keys. This is a good thing.
However, you do not have any GPG public keys installed. You need to download
the keys for packages you wish to install and install them.
You can do that by running the command:
rpm --import public.gpg.key


Alternatively you can specify the url to the key you would like to use
for a repository in the 'gpgkey' option in a repository section and yum
will install it for you.

For more information contact your distribution or package provider.

What I am supposed to do

Not sure what your asking or even if your asking a question. Maybe your looking for this:

"You need to install the CentOS RPM signing key. It is not installed as part of the base system install for security reasons. This provides you the opportunity to validate the key before installing it on your system."

http://www.centos.org/modules/smartfaq/faq.php?faqid=30

If you need the GPG public key for other than CentOS, you need to visit the website that has the software you want and look for the GPG key. If you don't know how to use GPG, read up on it here:

http://www.gnupg.org/(en)/documentation/index.html

Here's some CentOS and GPG related articles:

http://wiki.centos.org/PackageManagement/Yum/Priorities

http://www.osresources.com/11_6_en.html