I have all my runtimes on an external 250 Gig HD now as well. On top of that I've got all my other 3D content there. I've got the whole drive mapped across my network to the same drive letter so I can open my PZ3's on any machine and they still find the correct paths to their related geometry and texture files.

It doesn't check for internet access every time you run it, but their site does say it "Periodically" checks for updates and will pop up a warning if it's checking and can't find the net. They don't say how often that "Periodically" period is though.