Edit the web.config and add-in the <bypasslist> element
Ref : http://blogs.technet.com/b/jasbro/archive/2008/02/05/eventid-5566-troubleshooting-in-infopath-form-services.aspx
If the annonymous access for the site is enabled, need to turn it off
Ref : http://www.dotnetking.com/TechnicalComments.aspx?LogID=336
Thanks & Regards,
Srikrushna Patro.