Try setting "Access data sources across domains" to "Enable" first before you
try the solution to add the C:\ drive to the Trusted Sites (not sure if that
was an accurate solution or not, since I've never tried it). You can find
this setting when you open Internet Explorer, go to "Tools > Internet
Options", click on the "Security" tab, select Internet zone, and click on the
"Custom Level" button to open the "Security Settings" dialog box.

Adam said that you needed to add the UNC of your form to your list of
trusted sites. The UNC would look something like \\COMPUTERNAME\C$\MyForm.xsn
if your form is located at C:\MyForm.xsn. To get your computername, open
Windows Explorer, right-click on "My Computer", select "Properties" from the
context menu that appears, and click on "Computer name" tab.

Please post back what solved your problem; this way others will know too.
Thanks.
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S.Y.M. Wong-A-Ton