How is your database schema setup? If you have seperate table for Employees and Order with a foreign key relationship, this should work. In this case, you will probably want to make two secondary data source connections: One for the employee table and one for the orders table. The Employee table will populate the drop-down and you will only submit the orders data source.
Or maybe you should make your Main Data Connection connect to the orders table, and simply use a secondary connection to populate the drop-down. After this is done, you simply submit the Main DOM (which only has orders in it) and you should be done! In this scenario, you'll have to create another form or something to insert new employees, but this doesn't seem like a problem for you.
If all else fails, we have this cool software called the Database Accelerator and it can take all kinds of XML and shred it into DB tables. Check it out:
http://www.qdabra.com/proddetail.asp?prod=QDBXL1
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge