Hi Paul and welcome to the forum!
This is actually a native option in InfoPath 2007, called the combobox. However, this can still be achieve in IP 2003. You will want to have one option, "Other" in the drop-down. Add conditional formatting so that when "Other" is chosen, the drop-down list is hidden and another textbox is displayed.
I hope this makes sense, let us know if there are any problems!
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge