I don't have a whole lot of experience in this realm, but this seems like a multi-machine sign on issue. You will need to install Kerberos or enable forms-based authentication to get this to work.
Sorry for the lack of information, but try searching around for enabling Single Sign On or using Kerberos with your version of InfoPath. If you get it figured out, please reply back with what you did!
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge