Hi John,
This error is not specifically related to the data connections in your form.
You will receive this error if your form is attempting to execute managed
code or if your form is accessing files on the users machine. Basically
there are 2 ways around this issue
1: Register the form on the users machine
2: Sign the form with a digital certificate.

as it looks like your hosting your form in a form library you more than
likely want to sign the form with a digital certificate.

with the form in design mode click on Tools>Form Options
now depending if your using 2007 or 2003 the interface may be a little
different but look for the security tab or something equivalent

With the security tab active Click on the "Full Trust" option button (note
you may have to clear the "Automatically determine the trust level" check
box first)

with the form set to full trust then check the "Sign this form template"
Check box.
you should see the "Select Certificate and Create Certificate buttons
enable.
Now is where the fun begins if you can either generate a certificate from
your machine and sign the form with this or, you can get a certificate from
another source (trusted server on the network, or external VeriSign type
cert) once you have this certificate you can sign the form  and publish back
to your for library.

Select "Fill out this form" you may be presented with a "Do you wish to
trust this certificate message" click yes to that and your form will open.

This details how to sign your form for deployment to a form library, if you
want details on how to register the form on your users machines let me know
and I'll shoot through some info

Hope this helps
Ben