You can submit data to webservice via data connections, you can do many things with a data connection. There is submit type of dataconnection also, there is receive type.
This solution can reside on a sharepoint server/central location, from where all users can access the file. But again if you have webreference/Database reference in your form code then your form should be given full trust irrespective of where it resides.
One good suggestion for you is buy "Developing Solutions with Microsoft InfoPath " by Patrick Halstead which gives you lot of information about dataconnections and security of your form(Full Trust issue), Because these things so vast to explain in a forum.
Agni
InfoPathDev India