The hard part about your second question is when you don't know what to search for. :) I struggled with that when I first started with IP. You are looking for info on setting up cascading drop downs - Here's an Office Online how to:http://office.microsoft.com/en-us/infopath-help/create-a-cascading-list-box-HA001117713.aspx
It is for IP 2003, but should still get you pointed in the right direction.
The validation message you get on submit is normal. Is this a brower form or a filler form? If filler, you can have it give a popup when the validation rule fires....