Hi guys,
I am working on a project for a client right now where this is a requirement. We are in the process of getting this configured. We have done this before for a couple of clients.
The basic procedure is to use triggers on tables in SQL. You set up the trigger in SQL to send email. The trigger activates on INSERT, UPDATE etc. So when an InfoPath form is submitted to SQL the trigger is called and code is run that sends the email. You need to have SMTP access for the server, although you don't have to have SMTP configured on the server where SQL is.
Here is a link you can read more about triggers:
http://www.informit.com/guides/content.asp?g=sqlserver&seqNum=59&rl=1