First of all... have you ever used Nagios before? It takes a bit of setting up. You may find that it's not worth the effort. With that said I would try the following methodology:
wget
http://dag.wieers.com/packages/nagios/nagios-2.3.1-1.el4.rf.i386.rpm yum localinstall nagios-2.3.1-1.el4.rf.i386.rpm
if that doesn't you will probably get errors asking for other pieces of software that aren't available from the normal YUM repositories set on the SME You can poke around the other repos with the command
yum search <name_of_missing_rpm> --enablerepo=<name_of_repo>
When you find them all you can go back to the original command and add on the name of the repo where the code is. That should work
yum localinstall nagios-2.3.1-1.el4.rf.i386.rpm --enablerepo=<name_of_repo>
Don't remember the names of the repositories? Try:
db yum_repositories show |grep repository
Good luck. Also... why not post your results... if you make it look easy maybe I'll give nagios antoher try.