I have exactly the same problem
my sharepoint server : serverx with the central administration on serverx:8000
my database server (sql server 2005) : servery
I upload udcx file to 'application management > Infopath Forms Services > Manage Data Conecction Files' and check the 'Allow HTTP access to this file'.
I open infopath and i go to Tools > DataConnections then i add 'http:serverx:8000' for searching udcx file but this message is show :
No data connection libraries were found on the specified site.