Hi Sullyman and welcome,
If you want the forms to display in the browser, you'll need a BCS connection or a Web service in between the form. That's because the browser doesn't forward credentials to the DB. If the DB was on the same server as SharePoint and you custom configure the UDCx file (create a Data Connections library, and convert the data connection to UDC from InfoPath Designer's Data Connection dialog) to hard code the SQL authentication credentials, you could get away with browser forms querying the DB but submitting the main data source won't work. Try creating a SQL DB form from the InfoPath designer and you'll see a warning about browser forms when you do. They're not supported.
If the form is simple, a BCS mapping may be sufficient. For a form with repeating data structures, you'll need a Web service. We have developed a generic data-driven form of the latter and have a free trial available on Qdabra dot com. It does require a server install but after that, it's easy to configure and inexpensive to purchase if you want to go that route.
There are a lot of tutorials on the web describing how to configure BCS and you can probably figure it out yourself, but we're here to help you jump through the BCS hoops if you don't have time to figure it out n your own. I'm guessing it would take a couple hours of support time but it could be less.
Let us know how we can help.