Put all the files in the same directory with no other rpms then run "rpm -ivh *.rpm". It should see that you have the other rpms in your select and resolve the dependencies there. (Alternatively you could do rpm -ivh package1 package2 package3 etc... as a single command line.)
Curious why you have this issue with Yum. I just did a fresh install of RHEL 5.3 on a server, then ran through the "Fedora Quickstart" install steps at Nagios site (Fedora being a good analog to how it should be done on RHEL). All the software packages not from Nagios were in my basic install already. The configure, make etc... all ran without incident.
http://nagios.sourceforge.net/docs/3_0/quickstart.html