Web Services are a bit tricky. And InfoPath is not as flexible as I would like in how it plays with them, but if you get them working they are awesome. I am using ones bundled with MS Dynamics right now.
I would recommend you look at the web services suite from
www.qdabra.com.
They have built and refined a generic set of SQL web services over the past several years specifically for InfoPath which will save you untold heart ache and grief over trying to make them yourself. You can have theirs up and using them in a number of hours and you do not have to support a bunch of custom webservices.
These can be used with browser forms as UDC's.