This would work as long as you can find a Web service or data connection
that exposes the file tree.  You could also use business logic (script or
managed code) to build the tree dynamically using the file system object for
example and saves it to an XML file.  You would then bind the drop down to
the external file or other data connection that has this information.

However, neither of these approaches are not considered secure so your form
template would need to be full trust.