If you need to add a drop-down to an InfoPath form that has a Display Name with multiple columns, you can’t do this out of the box. In order to make this work, you have to manually edit the XSL behind the scenes. I don’t believe in adding code behind if you don’t need to but the XSL does not make this form need a Full Trust or anything, so this seems cleaner.
Save your InfoPath form File -> Save As Source Files… From there go in and edit the view1.xsl or whatever you named your view. Look for the <option> tags and in there you will find the <xsl:value-of/> tag with the field you chose in the display name. Now, just add the additional stuff you want, and whala:
Save the file and open the manifest.xsf in Design mode and take a look