Ok, I can propose you a way to do it but you have to code a little
-In your drop down, in value put the complete path of each images, and in display put your display value
-You have to use a Rich text field to display the image
-On Tools, form Option, security and trust, uncheck automatically determine security level and put full trust. Go to programming and select C# in form template code.
-After that right clic on your drop down, programing, changed event, it will open VSTA.
-Here some code you have to put in :
string MyURL = this.MainDataSource.CreateNavigator().SelectSingleNode("/my:myFields/my:test",this.NamespaceManager).Value;
if(MyURL!="")
this.MainDataSource.CreateNavigator().SelectSingleNode("/my:myFields/my:d",this.NamespaceManager).InnerXml="<IMG xmlns=\"http://www.w3.org/1999/xhtml\" SRC=\"" + MyURL + "\" />";
-you have to change: /my:myFields/my:test by your drop down xpath
To know it return on infopath and right click on your field on the data source tab, and click copy xpath
-And change /my:myFields/my:d by your Richtext field.
Let me know if it's work