So that sounds like the auto-validation, which will try to access the DTD if there are no local file mappings for the DTD. To disable that, then go to the Document -> XML Options, and then go to the Formatting page and uncheck "Auto validate on open".
For files that you want the validation to run on, even when the network can't be reached, you have to add mappings from URLs to local copies of the DTD files via the Tools -> Options -> Network and Internet Options -> URL Mappings config page.