Manually download the asset archive and unpack it into your %USERPROFILE%\Documents\ folder, then restart V-Ray to restore offline capability.
If you are offline, you may need to ignore this prompt by pressing "Continue," assuming you have already mapped the local files. vray 6 material library download offline
You cannot download this directly from inside 3ds Max/SketchUp/Rhino if you are currently offline. You need to use a machine with an internet connection. Manually download the asset archive and unpack it