Hi and welcome to the forums,
Add a drop down field in the form and follow the below steps.
1. Open the drop down properties by double clicking on the control.
2. Select ‘Look up values from an external data source..' option button.
3. Select the data base source in the Data source drop down.
4. Click on button which is after the Entries text box.
5. Select the ‘customer' column.
6. Click ok until all the windows to be closed.
Add another drop down for orders. And here you will do the filter based on customer. You can that filter using the following link.
http://www.infopathdev.com/blogs/greg/archive/2005/07/06/Create-a-Cascading-List-from-a-Flat-Data-Source.aspx
In the above link, they used xml as the secondary data source. Instead you can use data base as secondary source.