IE security warning for InfoPath

I started playing around with InfoPath and SharePoint yesterday,... this is definitely one impressive tool. At a certain moment I got an error message from Internet Explorer when filling in an InfoPath form. It seems that this warning appears when you use a webservice as a datasource in InfoPath. The easiest solution seems to be adding the source of your webservice to the Trusted Sites in IE. Another option would be to be make the form fully trusted but this is something I'm going to look into one of the next days.