aargiro1975:We have an employee that was sexually harassed by a customer
The very way in which you state the situation sounds like there is no need to do an investigation.
Assuming that you do not know this and you do intend to investigate, you should begin first by ensuring that no employee is put in a position where they can be sexually harassed by the customer. You don't have to sever ties, but you do have to take affirmative steps to ensure that you are protecting your employees. In practical terms, assuming there's nothing to suggest physical danger, that generally means that all contact with the customer has to be witnessed: 2 employees at a time.
If the customer is an employee of a business, and your investigation on your side finds the allegation to be credible and founded, then you should take it up with someone in HR or proper authority in the customer's organization.