Take a look at this link which should start pointing you in the right direction.
http://www.infopathdev.com/forums/p/26704/92969.aspx
You need to firstly bring in your list from SharePoint clicking on 'Manage Data Connections...' under your schema in InfoPath.
Follow this wizard step by step until it's complete.
Now as an example let's say you create a FieldA as a dropdown on your form. You would need to right click on that and "Get choices from an external data source"
Once you've done this you could drop a text field on the form and go to its Text Box Properties. Now you want to specify it's Default Value under the Data tab.
You click on the fx button: The object of this whole exercise is to get Column2 from the SharePoint list where FieldA in Infopath equals Column1 in the SharePoint list.
So something like this: Column2[Column1 = FieldA]
Hope this helps