|The stupid question is the question not asked|
please, type this:
You'll see that you are compiling gnupg as root (so your home now is /root).
You shouldn't do this to get your .gnupg at your user home. Try to never compile as root.
There is a kdesu command (check man kdesu or info kdesu) that can log you as root only for some command. But I don't know how could you install a module that also compiles gnupg...
If I were you, I would read the INSTALL file first:
You should read some FAQs or LINUX newsgroups (there should be all the answers, previously posted by others that had solved this before).