In order to use the SharePoint 2010 InfoPath Forms Services using the web browser service, the SharePoint Farm requires that the SharePoint Server Session State Service is enabled and the appropriate service applications are created. You can create a Session State DB by following these instructions http://www.retherfords.com/blogs/CoryRetherford/Lists/Posts/Post.aspx?ID=90
In the Central Administrator (CA) you may also encounter this Warning in the Health Analyzer
To enable and create this Session State Service Application you can open PowerShell and run the following.
Now that the Service Application has been created it will be displayed in the CA> Manage Service Applications