An error occurred accessing a data source

I used UserName and Password and saved them in a connection file file.

The infoPath form is not fully trusted.
The preview works (of course) fine.

The error occures when opening form in Web and what is funny, when I press "continue" it opens the form and displayes the data correctly.

How can I get rid of the error message?
Base on the description, you created an SQL data connection and converted it to .udcx file. Then you get "An error occurred accessing a data source¡± error when opening form in browser mode.

The reason why the error occur is that allowing anonymous access to the web application prevents the user profile web service from working correctly. To resolve the problem, we need disable anonymous access. Depending on how it was enabled, we have to do this in SharePoint Central Administration or in IIS.  More information: Some forms return a data source error when anonymous access is enabled: http:-//support.microsoft.-com/kb/2604617

Alternatively, we need  check the event viewer of the server and also in 14\Logs folder. Base on the message, we can test it with the simplest possible query or call instead of that complex query. Here is a similar thread for you to take a look: http-://social.technet.microsoft.-com/Forums/en-US/3d23f748-3a84-4fe8-999d-52e76b7fb990/an-error-occurred-accessing-a-data-source