Hi Gidsy,
Welcome to the wonderful world of InfoPath! :)
Your first question is a deep one! :) It's also one of the most commonly asked in this forum. How to integrate with SQL. InfoPath includes out-of-box support to work with SQL but it is limited. The best practice is to submit data to SQL using a Web service. Qdabra has simplified this by providing a generic Web service that you can use with all of your forms. In other words, there's no need to write a Web service for every form template (XSN). Just deploy one and specify the mapping from XML to SQL using a GUI tool. Free download is available from the Qdabra site. It's called DBXL. It's cheap and the free trial doesn't expire for a while.
Sorry for the curt response. We've just been asked this so many times that we just built a solution. It's faster for you to use it and certainly cheaper in terms of time and maintenance costs. If you'd like a demo or discussion just email me.
Good luck!