The strange thing is that no error log appear in the sharepoint logs! :(
I got the code from: http://blogs.msdn.com/b/uksharepoint/archive/2009/02/03/top-tips-for-infopath-form-development-with-sharepoint-part-1.aspx TIP #3
I followed the instructions there, but I'm not sure if I got the step 2 right, as I didnt really understand it
"Create a property in your form’s main data source called
‘MySaveLocation’. Please not that you could also use the FormState Dictionary
to store this value (as outlined in Tip 5). We are only storing as a form
property here to show different ways of doing things"