Read the following article, it will give you some insight into how to improve performance -http://msdn.microsoft.com/office/understanding/infopath/default.aspx?pull=/library/en-us/odc_ip2003_ta/html/officeinfopathtroubleshootperformancebestpracticeguidelines.asp
As well, how are you accessing your data? Webservice? Direct DB connection? Have ...