Hi JY,
You can have your data in an access db and make a data connection to your db. That will work fine.
There are other ways of doing it as well. Here is a link from MS where they do it using webservices for browser enabled forms
http://blogs.msdn.com/infopath/archive/2006/10/12/cascading-dropdowns-in-browser-forms.aspx
You can also have all your data in xml files and add then to your infopath forms as secondary datasource. That will allow you to filter the data.
So give it a go with which ever option you fancy and let me know.