When you query a SharePoint list, the data connection will retrieve ALL the data. I know there is a data connection wizard in InfoPath 2007 but don't know about InfoPath 2003. There is no way to filter (on the server) to select only a subset of data. So you'd create the data connection to query the SharePoint list, retrieve the ENTIRE list, then filter on the client (via Rules, probably) to get the data that you need to display. If you have a lot of data on the list, the data connection will be slow.
Qdabra has a handy suite of webservices called DBXL that (among many other things) includes a web service that filters server-side. DBXL has a free trial version and I recommend trying it out (for the server-side filtering) if your Sharepoint list is huge and you encounter performance issues on the data connection due to its size.