Rushi Desai, a developer on SQL Server Engine, has posted some blog entries on integrating InfoPath with SQL Server 2005:
Integrating InfoPath with SQL Server 2005
Download and try the InfoPathBroker sample
The first one explains the architecture for interfacing InfoPath with the SQL Server 2005 Service Broker feature. The second has the samples and instructions on how to set up the environment.
Check 'em out!