Now I'm using Ubuntu12.04.04 LTS.
I tried to create my gpg key with following steps on "Passwords and Keys" program.
I don't know why this error was occurred. According to I skipped some steps.
The reason that error was occurred are following:
~/.gnupg/*.gpg files had read-only permissions.
Before I use this operation, I created a gpg key by using following commands.
sudo -s gpg --gen-key
After that, I logged in regular user.
Thus, I hadn't the permissions to write
~/.gnupg/*.gpg (it's owner is root) files.
The solution: I modified it's permission by using following commands so that I created gpg key successfully.
sudo -s chown xxx ~/.gnupg/*.gpg